An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions

DOI10.1080/00207160.2012.749349zbMath1277.91195OpenAlexW2011890434MaRDI QIDQ2855742

Qing-Jiang Meng, Deng Ding

Publication date: 22 October 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.749349

zbMATH Keywords

rainbow optionsSV modelcorrelation optionsGBM modelmodified sine-sine expansionstwo-dimensional Fourier expansions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40) Fourier series and coefficients in several variables (42B05)

Related Items (6)

Pricing geometric Asian rainbow options under fractional Brownian motion ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ Spectral element method for parabolic initial value problem with non-smooth data: analysis and application ⋮ Pricing basket options by polynomial approximations ⋮ A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Application of the Fast Gauss Transform to Option Pricing
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• From high oscillation to rapid approximation I: modified Fourier expansions
• A Fourier Transform Method for Spread Option Pricing
• From high oscillation to rapid approximation III: multivariate expansions
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions