Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series

DOI10.1080/14697688.2020.1736612zbMath1454.91279arXiv1811.09257OpenAlexW3015889394MaRDI QIDQ5139233

Tat Lung Chan (Ron), Nicholas Hale

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.09257

zbMATH Keywords

convolutionLévy processLegendre seriesEuropean optionsearly-exercise optionsdiscrete-monitored barrier options

Mathematics Subject Classification ID

Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Chebfun
• BENCHOP
• ApproxFun
• GitHub
• pychebfun

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Convolutional autoregressive models for functional time series
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Estimation of risk-neutral densities using positive convolution approximation
• Chebyshev interpolation for parametric option pricing
• Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• BENCHOP – The BENCHmarking project in option pricing
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
• An Algorithm for the Convolution of Legendre Series
• Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
• Piecewise-smooth chebfuns
• Application of the Fast Gauss Transform to Option Pricing
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Fourier space time-stepping for option pricing with Lévy models
• Singular Fourier–Padé series expansion of European option prices
• Fast polynomial transforms based on Toeplitz and Hankel matrices
• Financial Modelling with Jump Processes
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
• On the convergence rates of Legendre approximation
• A Fast, Simple, and Stable Chebyshev--Legendre Transform Using an Asymptotic Formula

This page was built for publication: Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series