کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6894499 | 1445924 | 2018 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
ترجمه فارسی عنوان
هویت نوسان با نظارت مستمر و کاربرد آنها در قیمت گزینه های مانع
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
چکیده انگلیسی
We present a numerical scheme to calculate fluctuation identities for exponential Lévy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem. These identities are given in the Fourier-Laplace domain and require numerical inverse transforms. Thus we cover a gap in the literature that has mainly studied the discrete monitoring case; indeed, there are no existing numerical methods that deal with the continuous case. As a motivating application we price continuously monitored barrier options with the underlying asset modelled by an exponential Lévy process. We perform a detailed error analysis of the method and develop error bounds to show how the performance is limited by the truncation error of the sinc-based fast Hilbert transform used for the Wiener-Hopf factorisation. By comparing the results for our new technique with those for the discretely monitored case (which is in the Fourier-z domain) as the monitoring time step approaches zero, we show that the error convergence with continuous monitoring represents a limit for the discretely monitored scheme.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 271, Issue 1, 16 November 2018, Pages 210-223
Journal: European Journal of Operational Research - Volume 271, Issue 1, 16 November 2018, Pages 210-223
نویسندگان
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano,