کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5774822 | 1631562 | 2017 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing Bermudan options under local Lévy models with default
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pricing Bermudan options under local Lévy models with default Pricing Bermudan options under local Lévy models with default](/preview/png/5774822.png)
چکیده انگلیسی
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local default intensity and a locally dependent Lévy measure. We present a pricing method for Bermudan options based on an analytical approximation of the characteristic function combined with the COS method. Due to a special form of the obtained characteristic function the price can be computed using a fast Fourier transform-based algorithm resulting in a fast and accurate calculation. The Greeks can be computed at almost no additional computational cost. Error bounds for the approximation of the characteristic function as well as for the total option price are given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 450, Issue 2, 15 June 2017, Pages 929-953
Journal: Journal of Mathematical Analysis and Applications - Volume 450, Issue 2, 15 June 2017, Pages 929-953
نویسندگان
A. Borovykh, A. Pascucci, C.W. Oosterlee,