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An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions
Deng DING; Wang, WF
2015-06
Source PublicationINTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING
ISSN2424-7863
Volume2Issue:2
Abstract

Accumulator is a highly path dependant derivative structure, whose underlying assets can be currency rate, stock price, power source and so on. This paper studies the accumulator pricingproblems under different setting of the contract. First, we review pricing an accumulator in which the barrier is applied continuously. Second, without analytical formulae, the price of an accumulator with barrier applied discretely has to be determined by approximation or numerical methods. The Fourier cosine expansions method, initiated by Fang and Oosterlee [SIAM Journal on Scientific Computing, 31(2), 826-848], is applied to present a numerical method to solve it. The numerical results, compared with Barrier Correction method and Monte Carlo simulation method, are given to show the efficiency of the presented method. The last part gives a financial analysis about the risk hidden in anaccumulator.

KeywordAccumulator Fourier Cosine Expansions Monte Carlo Simulation Discrete Barrier Option OptiOn On Forward
DOIhttp://dx.doi.org/10.1142/S242478631550019X
Indexed BySCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000216776600009
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorWang, WF
AffiliationDepartment of Mathematics Faculty of Science and Technology University of Macau, Macao, China
First Author AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Deng DING,Wang, WF. An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions[J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING,2015,2(2).
APA Deng DING,&Wang, WF.(2015).An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions.INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING,2(2).
MLA Deng DING,et al."An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions".INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING 2.2(2015).
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