Fast Fourier Transform Pricing Method for Exponential Lévy Processes

dc.contributor.author	Flores, Fabian Crocce
dc.contributor.author	Häppölä, Juho
dc.contributor.author	Kiessling, Jonas
dc.contributor.author	Tempone, Raul
dc.date.accessioned	2017-06-12T10:24:00Z
dc.date.available	2017-06-12T10:24:00Z
dc.date.issued	2014-05-04
dc.identifier.uri	http://hdl.handle.net/10754/624930
dc.description.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.
dc.title	Fast Fourier Transform Pricing Method for Exponential Lévy Processes
dc.type	Poster
dc.contributor.department	Applied Mathematics and Computational Science Program
dc.contributor.department	Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.conference.date	May 4-6, 2014
dc.conference.name	SHAXC-2 Workshop 2014
dc.conference.location	KAUST
kaust.person	Flores, Fabian Crocce
kaust.person	Häppölä, Juho
kaust.person	Kiessling, Jonas
kaust.person	Tempone, Raul
refterms.dateFOA	2018-06-14T05:58:16Z

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