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    Fast Fourier Transform Pricing Method for Exponential Lévy Processes

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    Description:
    Poster
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    Type
    Poster
    Authors
    Flores, Fabian Crocce cc
    Häppölä, Juho
    Kiessling, Jonas
    Tempone, Raul cc
    KAUST Department
    Applied Mathematics and Computational Science Program
    Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
    Date
    2014-05-04
    Permanent link to this record
    http://hdl.handle.net/10754/624930
    
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    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.
    Conference/Event name
    SHAXC-2 Workshop 2014
    Collections
    Posters; Applied Mathematics and Computational Science Program; Scalable Hierarchical Algorithms for eXtreme Computing (SHAXC-2) Workshop 2014; Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division

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