A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
نویسندگان
چکیده
We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [9, 10], and high-order quadrature rules in the other dimension. Error analysis and experiments confirm a fast error convergence.
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ورودعنوان ژورنال:
- SIAM J. Financial Math.
دوره 2 شماره
صفحات -
تاریخ انتشار 2011