An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

DOI10.1080/14697688.2020.1736322zbMath1454.91278OpenAlexW3015589114MaRDI QIDQ5139234

Tat Lung Chan (Ron)

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1736322

zbMATH Keywords

Lévy processChebyshev seriesearly-exercise optionsdiscrete-monitored barrier optionsFilon-Clenshaw-Curtis rulessingular Fourier-Padé

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A new approach for pricing discounted American options ⋮ Perpetual cancellable American options with convertible features

Uses Software

• Chebfun
• BENCHOP

Cites Work

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