Fang, Fang and Oosterlee, Kees Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions.

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions | SpringerLink

We present a pricing method based on Fourier-cosine expansions for early-exercise and discretely-monitored barrier options. The method works well for exponential Levy asset price models.

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions | SIAM Journal on Scientific Computing | Vol. 31, No. 2 | Society for Industrial and Applied Mathematics

The error convergence is exponential for processes characterized by very smooth transitional probability density functions. Normal inverse Gaussian distributions and stochastic volatility modelling, Scand.

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions | SpringerLink

McGraw-Hill, New York, Chang C-C, Chung S-L and Stapleton R. Futures Markets, 27 8: A fast algorithm for computing integrals in function spaces: Computational Economics 7 4: A novel option pricing method based on Fourier-cosine series expansions, submitted, , see http: Management Science, 48 8: A simple option formula for general jump-diffusion and other exponential Levy processes.

SSRN working paper, The Variance Gamma process and option pricing.

European Finance Review, 2: Option pricing when underlying stock returns are discontinuous, J. Theory, numerics and empirical facts.

Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions - Munich Personal RePEc Archive

Levy processes, , Birkhaeuser Boston, Boston MA, The theory and practice of financial engineering. Wiley Frontiers in Finance Series, Home Browse Search FAQ About Help.

All papers reproduced by permission. Reproduction and distribution subject to the approval of the copyright owners. MPRA is a RePEc service hosted by the Munich University Library in Germany. Finance 8 2 , Options, futures and other derivatives.