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- Publisher Website: 10.1080/14697688.2010.538074
- Scopus: eid_2-s2.0-84865368273
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Article: Z-Transform and preconditioning techniques for option pricing
Title | Z-Transform and preconditioning techniques for option pricing |
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Authors | |
Keywords | Exotic options Toeplitz matrices Preconditioners Numerical methods for option pricing Linear systems |
Issue Date | 2012 |
Citation | Quantitative Finance, 2012, v. 12, n. 9, p. 1381-1394 How to Cite? |
Abstract | In the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral equations by using a z-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation into a linear system that we solve by iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure in pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to an exponential Lévy process. © 2012 Copyright Taylor and Francis Group, LLC. |
Persistent Identifier | http://hdl.handle.net/10722/276929 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 0.705 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Fusai, Gianluca | - |
dc.contributor.author | Marazzina, Daniele | - |
dc.contributor.author | Marena, Marina | - |
dc.contributor.author | Ng, Michael | - |
dc.date.accessioned | 2019-09-18T08:35:05Z | - |
dc.date.available | 2019-09-18T08:35:05Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Quantitative Finance, 2012, v. 12, n. 9, p. 1381-1394 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10722/276929 | - |
dc.description.abstract | In the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral equations by using a z-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation into a linear system that we solve by iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure in pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to an exponential Lévy process. © 2012 Copyright Taylor and Francis Group, LLC. | - |
dc.language | eng | - |
dc.relation.ispartof | Quantitative Finance | - |
dc.subject | Exotic options | - |
dc.subject | Toeplitz matrices | - |
dc.subject | Preconditioners | - |
dc.subject | Numerical methods for option pricing | - |
dc.subject | Linear systems | - |
dc.title | Z-Transform and preconditioning techniques for option pricing | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/14697688.2010.538074 | - |
dc.identifier.scopus | eid_2-s2.0-84865368273 | - |
dc.identifier.volume | 12 | - |
dc.identifier.issue | 9 | - |
dc.identifier.spage | 1381 | - |
dc.identifier.epage | 1394 | - |
dc.identifier.eissn | 1469-7696 | - |
dc.identifier.isi | WOS:000308092000007 | - |
dc.identifier.issnl | 1469-7688 | - |