Codice | QDD 178 |
Titolo | Fast pricing of discretely monitored exotic options based on the Spitzer identity and the Wiener-Hopf factorization |
Data | 2014-05-05 |
Autore/i | G. Fusai, G. Germano, D. Marazzina |
Link | Download full text |
Abstract | We present a fast and accurate pricing technique based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential L\'evy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points, except for double-barrier options. |
|