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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Applied Mathematics and Computational Science Program
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Scalable Hierarchical Algorithms for eXtreme Computing (SHAXC-2) Workshop 2014
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Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division
For more information visit: https://cemse.kaust.edu.sa/