Search Results - subject:"Fourier inversion"

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Institute - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate …

Persistent link: https://www.econbiz.de/10005209502

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate …

Persistent link: https://www.econbiz.de/10011256210

Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

Zhang, Zhimin; Yang, Hailiang - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 24-35

In this paper, we propose a nonparametric estimator of ruin probability in a Lévy risk model. The aggregate claims process X={Xt,≥0} is modeled by a pure-jump Lévy process. Assume that high-frequency observed data on X are available. The estimator is constructed based on the...

Persistent link: https://www.econbiz.de/10011046635

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of Banking & Finance 37 (2013) 12, pp. 4893-4906

univariate Fourier inversion. In addition, we are also able to obtain a new tight upper bound. Our method provides also an exact … closed form solution via Fourier inversion of the exchange option price, generalizing the Margrabe (1978) formula. The method …

Persistent link: https://www.econbiz.de/10010709474

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

Chen, Rongda; Yu, Lean - In: Economic Modelling 35 (2013) C, pp. 796-804

and the moment generating function, Fourier-Inversion method and adaptive Simpson rule with iterative algorithm of … portfolio. VaR values of option portfolio obtained from different methods are compared. Numerical results of Fourier-Inversion … Fourier-Inversion method are not obviously different from VaR values obtained by using Monte Carlo simulation when market risk …

Persistent link: https://www.econbiz.de/10010719359

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804

Persistent link: https://www.econbiz.de/10010336666

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906

Persistent link: https://www.econbiz.de/10010342187

NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

BERNARD, CAROLE; CUI, ZHENYU; MCLEISH, DON - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250047-1

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model and of continuously monitored Parisian options in the...

Persistent link: https://www.econbiz.de/10010595419

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

Currency option pricing : mean reversion and multi-scale stochastic volatility

Wong, Hoi Ying; Zhao, Jing - In: The journal of futures markets 30 (2010) 10, pp. 938-956

Persistent link: https://www.econbiz.de/10008900932