Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing

DOI10.1016/j.cam.2018.07.017zbMath1417.91554OpenAlexW2884529618WikidataQ129502475 ScholiaQ129502475MaRDI QIDQ1624661

Jie Cao, Xiaoping Hu, Ying Xiu

Publication date: 16 November 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.07.017

zbMATH Keywords

Fourier transformsaddle-point approximationLévy modelmultinomial treeoptions pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (2)

Binomial tree method for option pricing: discrete cosine transform approach ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

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