Fast Fourier Transform Pricing Method for Exponential Lévy Processes

Handle URI:
http://hdl.handle.net/10754/624930
Title:
Fast Fourier Transform Pricing Method for Exponential Lévy Processes
Authors:
Crocce, Fabian; Happola, Juho; Kiessling, Jonas; Tempone, Raul ( 0000-0003-1967-4446 )
Abstract:
We describe a set of partial-integro-differential equations (PIDE) whose solutions represent the prices of european options when the underlying asset is driven by an exponential L´evy process. Exploiting the L´evy -Khintchine formula, we give a Fourier based method for solving this class of PIDEs. We present a novel L1 error bound for solving a range of PIDEs in asset pricing and use this bound to set parameters for numerical methods.
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
SHAXC-2 Workshop 2014
Issue Date:
4-May-2014
Type:
Poster
Appears in Collections:
Posters; Scalable Hierarchical Algorithms for eXtreme Computing (SHAXC-2) Workshop 2014

Full metadata record

DC FieldValue Language
dc.contributor.authorCrocce, Fabianen
dc.contributor.authorHappola, Juhoen
dc.contributor.authorKiessling, Jonasen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2017-06-12T10:24:00Z-
dc.date.available2017-06-12T10:24:00Z-
dc.date.issued2014-05-04-
dc.identifier.urihttp://hdl.handle.net/10754/624930-
dc.description.abstractWe describe a set of partial-integro-differential equations (PIDE) whose solutions represent the prices of european options when the underlying asset is driven by an exponential L´evy process. Exploiting the L´evy -Khintchine formula, we give a Fourier based method for solving this class of PIDEs. We present a novel L1 error bound for solving a range of PIDEs in asset pricing and use this bound to set parameters for numerical methods.en
dc.titleFast Fourier Transform Pricing Method for Exponential Lévy Processesen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateMay 4-6, 2014en
dc.conference.nameSHAXC-2 Workshop 2014en
dc.conference.locationKAUSTen
kaust.authorCrocce, Fabianen
kaust.authorHappola, Juhoen
kaust.authorKiessling, Jonasen
kaust.authorTempone, Raulen
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