Seminario di finanza matematica
ore
14:30
presso Sala Consiglio, Prometeia
via Guglielmo Marconi, 43 Bologna
We present a fast and accurate pricing techniques 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 Lévy 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.