An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
复制标题
基于FFT的精确百慕大障碍期权定价算法
DOI：
10.4236/iim.2012.43014
复制
发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Jing Zhao
中科院分区：
文献类型：
--
作者：
D. Ding;Z. Weng;Jing Zhao
Lord等人在文献[1]中提出了一种有效而精确的数值方法--CONV方法。本文将该方法应用于监测日可能是执行日数倍的无障碍期权定价。给出了相应的算法，并应用于实际期权定价.数值实验表明，该算法对不同的指数Levy资产模型都有很好的效果。
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 Levy asset models.