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An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing
Deng Ding1; Zuoqiu Weng2; Jingya Zhao1
2012-04
Source PublicationIntelligent Information Management
ISSN2160-5912
Volume4Issue: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.

KeywordFast Fourier Transform (Fft) Bermudan Barrier Option Conv Method
DOIhttp://dx.doi.org/10.4236/iim.2012.43014
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Language英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorDeng Ding; Zuoqiu Weng; Jingya Zhao
Affiliation1.Department of Mathematics, University of Macau, Macao, China
2.Bank of Ningbo, Shenzhen Branch, Shenzhen, China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity 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.
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