A fast and accurate FFT-based method for pricing early-exercise options under levy processes

SIAM Journal on Scientific Computing

Volumn 30, Issue 4, 2007, Pages 1678-1705

  Lord, R ^a   Fang, F ^b   Bervoets, F ^c   Oosterlee, C W ^d  

^a Rabobank International   (United Kingdom)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^c Thames Court   (Bulgaria)

^d CWI   (Netherlands)

Author keywords

American options; Bermudan options; Convolution; Fast Fourier transform; L vy processes; Option pricing

Indexed keywords

COSTS; ECONOMICS; FAST FOURIER TRANSFORMS; FINANCIAL MARKETS;

AMERICAN OPTIONS; BERMUDAN OPTIONS; COMPUTATIONAL FINANCE; EXOTIC OPTION; FOURIER TRANSFORMATIONS; LEVY PROCESS; LÉVY PROCESS; OPTIONS PRICING; PRICING METHODS; RISK-NEUTRAL VALUATIONS;

CONVOLUTION;

EID: 55549136080     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/070683878     Document Type: Article

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