UM
An efficient algorithm for Bermudan barrier option pricing
DING Deng1; HUANG Ning-ying2; ZHAO Jing-ya1
2012-03-18
Source PublicationApplied Mathematics-A Journal of Chinese Universities
ISSN1005-1031
Volume27Issue:1Pages:49-58
Abstract

An efficient option pricing method based on Fourier-cosine expansions was presented by Fang and Oosterlee for European options in 2008, and later, this method was also used by them to price early-exercise options and barrier options respectively, in 2009. In this paper, this method is applied to price discretely American barrier options in which the monitored dates are 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 and efficiently for different exponential Lévy asset models.

KeywordAmerican Barrier Option Bermudan Option Fourier Transform Fourier-cosine Expansion
DOI10.1007/s11766-012-2516-5
URLView the original
Language英语
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000301606000004
Fulltext Access
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Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Personal research not belonging to the institution
Corresponding AuthorHUANG Ning-ying
Affiliation1.Department of Mathematics, University of Macau, Macao, China
2.Statistics Department, China Banking Regulatory Commission, Beijing 100140, China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
DING Deng,HUANG Ning-ying,ZHAO Jing-ya. An efficient algorithm for Bermudan barrier option pricing[J]. Applied Mathematics-A Journal of Chinese Universities,2012,27(1):49-58.
APA DING Deng,HUANG Ning-ying,&ZHAO Jing-ya.(2012).An efficient algorithm for Bermudan barrier option pricing.Applied Mathematics-A Journal of Chinese Universities,27(1),49-58.
MLA DING Deng,et al."An efficient algorithm for Bermudan barrier option pricing".Applied Mathematics-A Journal of Chinese Universities 27.1(2012):49-58.
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