Searched for: author%3A%22Zhang%2C+B.%22
(1 - 7 of 7)
document
Zhang, B. (author), Oosterlee, C.W. (author)
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...
journal article 2013
document
Zhang, B. (author), Oosterlee, C.W. (author)
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...
journal article 2013
document
Zhang, B. (author), Van der Weide, J.A.M. (author), Oosterlee, C.W. (author)
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...
report 2012
document
Zhang, B. (author), Oosterlee, C.W. (author)
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...
report 2011
document
Zhang, B. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
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...
report 2010
document
Zhang, B. (author), Oosterlee, C.W. (author)
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...
report 2010
document
Zhang, B. (author), Oosterlee, C.W. (author)
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...
report 2010
Searched for: author%3A%22Zhang%2C+B.%22
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