FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024915500466zbMath1337.91131OpenAlexW3125619842WikidataQ60148424 ScholiaQ60148424MaRDI QIDQ3460680

Wendong Zheng, Pingping Zeng, Yue Kuen Kwok

Publication date: 8 January 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500466

zbMATH Keywords

Hilbert transformstochastic volatility modelsfinite-maturity timer options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods in Fourier analysis (65T99)

Related Items (4)

Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS

Cites Work

• A Theory of the Term Structure of Interest Rates
• CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
• Fourier space time-stepping for option pricing with Lévy models
• A decomposition of Bessel Bridges
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
• Unnamed Item

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