"uuid","repository link","title","author","contributor","publication year","abstract","subject topic","language","publication type","publisher","isbn","issn","patent","patent status","bibliographic note","access restriction","embargo date","faculty","department","research group","programme","project","coordinates"
"uuid:5e059ec0-fb45-4944-918a-b96e810deac5","http://resolver.tudelft.nl/uuid:5e059ec0-fb45-4944-918a-b96e810deac5","An efficient pricing algorithm for swing options based on Fourier cosine expansions","Zhang, B.; Oosterlee, C.W.","","2013","Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. We assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to avoid continuous exercise. We introduce an efficient way of pricing these swing options, based on the Fourier cosine expansion method, which is especially suitable when the underlying is modeled by a Lévy process.","","en","journal article","RISK journal, Financial Publishing Limited","","","","","","","2014-01-01","Electrical Engineering, Mathematics and Computer Science","Delft Institute of Applied Mathematics","","","",""
"uuid:8594fe0e-f359-426c-8cb6-271bff80cc15","http://resolver.tudelft.nl/uuid:8594fe0e-f359-426c-8cb6-271bff80cc15","Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions","Zhang, B.; Oosterlee, C.W.","","2013","We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The exponential convergence rates of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milliseconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis and by various numerical examples.","arithmetic Asian options; exponential Lévy asset price processes; Fourier cosine expansions; ClenshawCurtis quadrature; exponential convergence","en","journal article","Society for Industrial and Applied Mathematics (SIAM)","","","","","","","","Electrical Engineering, Mathematics and Computer Science","Delft Institute of Applied Mathematics","","","",""
"uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24","http://resolver.tudelft.nl/uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24","Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions. Part II. Early-exercise features and GPU implementation","Zhang, B.; Van der Weide, J.A.M.; Oosterlee, C.W.","","2012","In this article, we propose an efficient pricing method for Asian options with early–exercise features. It is based on a two–dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw–Curtis quadrature and the Fast Fourier transform (FFT) are employed. Rapid convergence of the pricing method is illustrated by an error analysis. Its performance is further demonstrated by various numerical examples, where we also show the power of an implementation on the Graphics Processing Unit (GPU).","earlyexercise Asian option; arithmetic average; Fourier cosine expansion; chain rule; ClenshawCurtis quadrature; exponential convergence; graphics processing unit (GPU) computation","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:b3beaec0-34a4-427c-b520-ccc3ba97eb23","http://resolver.tudelft.nl/uuid:b3beaec0-34a4-427c-b520-ccc3ba97eb23","Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions Part I: European-style products","Zhang, B.; Oosterlee, C.W.","","2011","We propose an efficient pricing method for arithmetic, and geometric, Asian options under Levy processes, based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European–style and American–style Asian options, and for discretely and continuously monitored versions. In the present paper we focus on European–style Asian options; American-style options are treated in an accompanying part II of this paper. The exponential convergence rate of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milli-seconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis, and by various numerical examples.","Arithmetic Asian options, Lévy processes, Fourier cosine expansions, ClenshawCurtis quadrature, exponential convergence","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:5d02b210-857d-4bda-81e0-9fd59da55906","http://resolver.tudelft.nl/uuid:5d02b210-857d-4bda-81e0-9fd59da55906","Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process","Zhang, B.; Grzelak, L.A.; Oosterlee, C.W.","","2010","We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansions for early-exercise options. We focus on variants of Schwartz’ model [20] based on a mean reverting Ornstein-Uhlenbeck process [23], which is commonly used for modeling commodity prices. This process however does not possess favorable properties for the option pricing method of interest. We therefore propose an approximation of its characteristic function, so that the Fast Fourier Transform can be applied for highest efficiency.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:46714bc8-783c-4535-b222-ba1f89b5ea96","http://resolver.tudelft.nl/uuid:46714bc8-783c-4535-b222-ba1f89b5ea96","An efficient pricing algorithm for swing options based on fourier cosine expansions","Zhang, B.; Oosterlee, C.W.","","2010","Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. In this paper, we assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to avoid continuous exercise. We introduce an efficient way of pricing these swing options, based on the Fourier cosine expansion method, which is especially suitable when the underlying is modeled by a Lévy process.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:adccf357-5870-4ac6-8f7f-1f42db232f3b","http://resolver.tudelft.nl/uuid:adccf357-5870-4ac6-8f7f-1f42db232f3b","Acceleration of option pricing technique on graphics processing units","Zhang, B.; Oosterlee, C.W.","","2010","The acceleration of an option pricing technique based on Fourier cosine expansions on the Graphics Processing Unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options, are explored. We also give details about the different ways of implementing on a GPU. Numerical examples include asset price processes based on a L´evy process of infinite activity and the stochastic volatility Heston model. Furthermore, we discuss the issue of precision on the present GPU systems.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""