Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach

DOI10.1137/130922495zbMath1296.91288OpenAlexW3122879049WikidataQ60148434 ScholiaQ60148434MaRDI QIDQ2878964

Pingping Zeng, Yue Kuen Kwok

Publication date: 5 September 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b164ad8c429cc0bdd6339db8bf910ad43f9bf8e8

zbMATH Keywords

time-changed Lévy processesbarrier optionsBermudan optionsdividend-ruin modelfast Hilbert transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10) Numerical integration (65D30)

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