The Heston model with Term Structure: Option Pricing and Calibration

This thesis addresses the calibration of the Heston model with term structure (i.e. with piecewise constant parameters) to a set of European option prices from the FX market. Several option pricing methods are discussed and compared, among which the COS method, Lewis' method and the Andersen QE Monte Carlo scheme. Several modifications are...

Pricing options on gas under a regime-switching model

This thesis deals with pricing options on natural gas under a regime-switching model. First of all, a regime-switching model for natural gas is considered. Hereafter, historical gasdata are examined to find a model which fits the data. Next, a system of PDE's is derived in order to price an option under the regime-switching model. Finally,...

Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions

This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options to improve robustness, which allows us to heuristically select - and test the goodness - of all of the parameters a priori. Furthermore, we propose a simplified version of...

The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method

There are situations in which the COS method for option pricing has relatively slow convergence as a consequence of the Gibbs phenomenon. This thesis focusses on various methods to improve the convergence rate of the so called spectral methods. Note that we are not just interested in an accurate recovery, but that we also want to be able to...