Binomial tree method for option pricing: discrete cosine transform approach

DOI10.1016/j.matcom.2022.02.032OpenAlexW4220986027MaRDI QIDQ2140059

Shintaro Suda, Yoshifumi Muroi

Publication date: 20 May 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2022.02.032

zbMATH Keywords

option valuationdiscrete cosine transform (DCT)binomial treeexponential CGMY modelexponential jump-diffusion

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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