Showing 1 - 10 of 15
We show how spectral filtering techniques can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast Fourier transform. This is relevant, for example, for the computation of fluctuation identities,...
Persistent link: https://www.econbiz.de/10012953121
In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and...
Persistent link: https://www.econbiz.de/10012893238
Persistent link: https://www.econbiz.de/10015196949
Persistent link: https://www.econbiz.de/10010361703
Persistent link: https://www.econbiz.de/10011446230
Persistent link: https://www.econbiz.de/10011882800
The Wiener-Hopf factorization of a complex function arises in a variety of fields in applied mathematics such as probability, finance, insurance, queuing theory, radio engineering and fluid mechanics. The factorization fully characterizes the distribution of functionals of a random walk or a...
Persistent link: https://www.econbiz.de/10012991920
Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assume to describe asset volatility as an...
Persistent link: https://www.econbiz.de/10012861614
We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-quantile options. This includes a new direct calculation of the optimal exercise barrier for early-exercise options. Our approach is based on the Spitzer identities for general Lèvy processes and...
Persistent link: https://www.econbiz.de/10012871680
Persistent link: https://www.econbiz.de/10012194737