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...

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...

Robust pricing of european options with wavelets and the characteristic function

We present a novel method for pricing European options based on the wavelet approximation method and the characteristic function. We focus on the discounted expected payoff pricing formula and compute it by means of wavelets. We approximate the density function associated to the underlying asset price process by a finite combination of jth order...

Accurate Evaluation of European and American Options Under the CGMY Process

A finite?difference method for integro?differential equations arising from Lévy driven asset processes in finance is discussed. The equations are discretized in space by the collocation method and in time by an explicit backward differentiation formula. The discretization is shown to be second?order accurate for a relevant parameter range...