Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process

DOI10.1016/J.APNUM.2011.10.005zbMath1229.91349OpenAlexW2117269925MaRDI QIDQ655547

Cornelis W. Oosterlee, Bowen Zhang, Lech A. Grzelak

Publication date: 4 January 2012

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2011.10.005

zbMATH Keywords

error analysisUhlenbeck processOrnsteinearly-exercise commodity optionsefficient pricingFourier-cosine expansions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical methods for trigonometric approximation and interpolation (65T40)

Related Items (3)

Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance ⋮ Valuation of electricity storage contracts using the COS method

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• A Jump-Diffusion Model for Option Pricing
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• A continuous time model to price commodity-based swing options
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Pricing Interest-Rate-Derivative Securities
• Option pricing when underlying stock returns are discontinuous

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