Seminario del 2014

Aprile
03
2014
Dott. Daniele Marazzina - Politecnico di Milano, Dipartimento di Matematica
Fast pricing of discretely monitored exotic otions by a numerical Wiener-Hopf procedure.
nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA
finanza matematica
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.
organizzato da: Andrea Pascucci

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