Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach

DOI10.1080/135048698334691zbMath1011.91507OpenAlexW1979433596MaRDI QIDQ4541559

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Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048698334691

zbMATH Keywords

weak convergencefast Fourier transformAmerican optionscompound optionsfuture payoffsMonte Carlo forward-induction methodology

Mathematics Subject Classification ID

Related Items (1)

Static hedging of multivariate derivatives by simulation

Cites Work

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• Discretization and simulation of stochastic differential equations
• Pricing American-style securities using simulation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A simplified exposition of the health, Jarrow and Morton model

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