Lookback option pricing using the Fourier transform B-spline method

DOI10.1080/14697688.2014.882010zbMath1308.91188OpenAlexW2084015727MaRDI QIDQ5245351

Vladimir K. Kaishev, Gareth G. Haslip

Publication date: 8 April 2015

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/11975/1/Haslip%2C%20Kaishev%20%282014%29%20QF.pdf

zbMATH Keywords

Fourier transformjump diffusionvariance gammaB-spline interpolationSpitzer formulalookback option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (2)

Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

Uses Software

• Mathematica
• Slatec

Cites Work

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