Efficient Inverse Z-Transform and Pricing Barrier and Lookback Options With Discrete Monitoring
نویسندگان
چکیده
We prove simple general formulas for expectations of functions a random walk and its running extremum. Under additional conditions, we derive analytical using the inverse $Z$-transform, Fourier/Laplace inversion Wiener-Hopf factorization, discuss efficient numerical methods realization these formulas. As applications, cumulative probability distribution function process maximum price option to exchange power stock are calculated. The most use new sinh-acceleration technique simplified trapezoid rule. program in Matlab on Mac with moderate characteristics achieves precision E-10 better several dozen milliseconds, E-14 - fraction isecond.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4155587