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dc.contributor.authorFlores, Fabian Crocce
dc.contributor.authorHäppölä, Juho
dc.contributor.authorKeissling, Jonas
dc.contributor.authorTempone, Raul
dc.date.accessioned2017-06-05T08:35:46Z
dc.date.available2017-06-05T08:35:46Z
dc.date.issued2015-01-07
dc.identifier.urihttp://hdl.handle.net/10754/624051
dc.description.abstractWe derive an error bound for utilising the discrete Fourier transform method for solving Partial Integro-Differential Equations (PIDE) that describe european option prices for exponential Lévy driven asset prices. We give sufficient conditions for the existence of a L? bound that separates the dynamical contribution from that arising from the type of the option n in question. The bound achieved does not rely on information of the asymptotic behaviour of option prices at extreme asset values. In addition, we demonstrate improved numerical performance for select examples of practical relevance when compared to established bounding methods.
dc.titleError analysis in Fourier methods for option pricing for exponential Lévy processes
dc.typePoster
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.conference.dateJanuary 6-9, 2015
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2015)
dc.conference.locationKAUST
kaust.personFlores, Fabian Crocce
kaust.personHäppölä, Juho
kaust.personKeissling, Jonas
kaust.personTempone, Raul
refterms.dateFOA2018-06-14T04:26:38Z


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