A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

被引：86

作者：

Fang, Fang ^{[1
]}

Oosterlee, Cornelis W. ^{[1
,2
]}

机构：

[1] Delft Univ Technol, Delft Inst Appl Math, NL-2628 CD Delft, Netherlands

[2] CWI, NL-1090 GB Amsterdam, Netherlands

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2011年 / 2卷 / 01期

关键词：

Heston model; Bermudan options; Fourier cosine expansions; numerical quadrature;

D O I：

10.1137/100794158

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [F. Fang and C. W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826-848, F. Fang and C. W. Oosterlee, Numer. Math., 114 (2009), pp. 27-62], and high-order quadrature rules in the other dimension. Error analysis and experiments confirm a fast error convergence.

引用

页码：439 / 463

页数：25

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