Residential College | false |
Status | 已發表Published |
An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing | |
Deng Ding1![]() ![]() ![]() ![]() | |
2012-04 | |
Source Publication | Intelligent Information Management
![]() |
ISSN | 2160-5912 |
Volume | 4Issue:3Pages:89-93 |
Abstract | An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrier options in which the monitored dates may be many times more than the exercise dates. The corresponding algorithm is presented to practical option pricing. Numerical experiments show that this algorithm works very well for different exponential Lévy asset models. |
Keyword | Fast Fourier Transform (Fft) Bermudan Barrier Option Conv Method |
DOI | 10.4236/iim.2012.43014 |
Language | 英語English |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Science and Technology DEPARTMENT OF MATHEMATICS |
Corresponding Author | Deng Ding; Zuoqiu Weng |
Affiliation | 1.Department of Mathematics, University of Macau, Macao, China 2.Bank of Ningbo, Shenzhen Branch, Shenzhen, China |
First Author Affilication | University of Macau |
Corresponding Author Affilication | University of Macau |
Recommended Citation GB/T 7714 | Deng Ding,Zuoqiu Weng,Jingya Zhao. An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing[J]. Intelligent Information Management, 2012, 4(3), 89-93. |
APA | Deng Ding., Zuoqiu Weng., & Jingya Zhao (2012). An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing. Intelligent Information Management, 4(3), 89-93. |
MLA | Deng Ding,et al."An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing".Intelligent Information Management 4.3(2012):89-93. |
Files in This Item: | There are no files associated with this item. |
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment