A novel pricing method for European options based on Fourier-cosine series expansions
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Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Trigonometric approximation (42A10) Numerical methods for trigonometric approximation and interpolation (65T40)
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(only showing first 100 items - show all)- Two-dimensional Fourier cosine series expansion method for pricing financial options
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- Pricing inflation products with stochastic volatility and stochastic interest rates
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Closed-form option pricing for exponential Lévy models: a residue approach
- A high-order finite difference method for option valuation
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Option pricing with Legendre polynomials
- Computing the Gerber-Shiu function by frame duality projection
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Pricing European options under stochastic volatilities models
- BENCHOP -- the benchmarking project in option pricing
- Robust pricing of European options with wavelets and the characteristic function
- Nearly exact option price simulation using characteristic functions
- Efficient pricing and reliable calibration in the Heston model
- The evaluation of barrier option prices under stochastic volatility
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Pricing high-dimensional Bermudan options using the stochastic grid method
- A comparative study on time-efficient methods to price compound options in the Heston model
- Computation of Greeks using binomial trees in a jump-diffusion model
- Singular Fourier-Padé series expansion of European option prices
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- An analytical approximation for single barrier options under stochastic volatility models
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Pricing discrete barrier options and credit default swaps under Lévy processes
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- On the data-driven COS method
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
- Model risk and discretisation of locally risk-minimising strategies
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- Fast exponential time integration scheme for option pricing with jumps.
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- Volatility swaps and volatility options on discretely sampled realized variance
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- scientific article; zbMATH DE number 1724307 (Why is no real title available?)
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- RMOPI
- Pricing options under stochastic volatility with Fourier-cosine series expansions
- Importance sampling and statistical Romberg method for Lévy processes
- Laplace transform approach to option pricing for time-changed Brownian models
- Pricing basket options by polynomial approximations
- Efficient numerical Fourier methods for coupled forward-backward SDEs
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- A moment expansion approach to option pricing
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Analytical approximation for distorted expectations
- The \(\beta\)-Meixner model
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
- Local stochastic volatility with jumps: analytical approximations
- Analytical pricing of American options
- Option pricing under stochastic volatility models with latent volatility
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Calibration and simulation of Heston model
- Peaks and jumps reconstruction with \(B\)-splines scaling functions
- An efficient transform method for Asian option pricing
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
- Valuation of electricity storage contracts using the COS method
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Efficient pricing of European options on two underlying assets by frame duality
- An implied volatility model determined by credit default swaps
- What is beneath the surface? Option pricing with multifrequency latent states
- Polynomial processes for power prices
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- On the calibration of the 3/2 model
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- Pricing vulnerable claims in a Lévy-driven model
- Finite-time dividend problems in a Lévy risk model under periodic observation
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- A finite volume-alternating direction implicit approach for the calibration of stochastic local volatility models
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- A Fourier-cosine method for finite-time ruin probabilities
- Integrated structural approach to credit value adjustment
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
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