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dc.contributor.authorFlores, Fabian Crocce
dc.contributor.authorHäppölä, Juho
dc.contributor.authorKiessling, Jonas
dc.contributor.authorTempone, Raul
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.
dc.titleFast Fourier Transform Pricing Method 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.dateMay 4-6, 2014
dc.conference.nameSHAXC-2 Workshop 2014
dc.conference.locationKAUST
kaust.personFlores, Fabian Crocce
kaust.personHäppölä, Juho
kaust.personKiessling, Jonas
kaust.personTempone, Raul
refterms.dateFOA2018-06-14T05:58:16Z


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