Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code)

IF 1 4区 数学 Q3 MATHEMATICS, APPLIED Computational Methods in Applied Mathematics Pub Date : 2023-01-02 DOI:10.1515/cmam-2022-0088
A. Aimi, C. Guardasoni, L. Ortiz-Gracia, S. Sanfelici
{"title":"Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code)","authors":"A. Aimi, C. Guardasoni, L. Ortiz-Gracia, S. Sanfelici","doi":"10.1515/cmam-2022-0088","DOIUrl":null,"url":null,"abstract":"Abstract In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of its use in the Black and Scholes (BS) model, the focus of the paper is on the application of the proposed methodology to the barrier option evaluation in the Heston model, where its contribution is fundamental to improve computational efficiency and to make BEM appealing among finance practitioners as a valid alternative to Monte Carlo (MC) or other more traditional approaches. An error analysis is provided on the number of terms used in the Fourier-cosine series expansion, where the error bound estimation is based on the characteristic function of the log-asset price process. A Matlab code implementing this technique is attached at the end of the paper.","PeriodicalId":48751,"journal":{"name":"Computational Methods in Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2023-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Methods in Applied Mathematics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1515/cmam-2022-0088","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 2

Abstract

Abstract In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of its use in the Black and Scholes (BS) model, the focus of the paper is on the application of the proposed methodology to the barrier option evaluation in the Heston model, where its contribution is fundamental to improve computational efficiency and to make BEM appealing among finance practitioners as a valid alternative to Monte Carlo (MC) or other more traditional approaches. An error analysis is provided on the number of terms used in the Fourier-cosine series expansion, where the error bound estimation is based on the characteristic function of the log-asset price process. A Matlab code implementing this technique is attached at the end of the paper.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Heston模型中COS BEM方法的快速障碍期权定价(含Matlab代码)
摘要在这项工作中,傅立叶余弦级数(COS)方法与边界元方法(BEM)相结合,用于快速评估障碍期权价格。在描述了其在Black and Scholes(BS)模型中的应用后,本文的重点是将所提出的方法应用于Heston模型中的障碍选择评估,其贡献对于提高计算效率和使BEM作为蒙特卡洛(MC)或其他更传统方法的有效替代方案在金融从业者中具有吸引力是至关重要的。对傅立叶余弦级数展开中使用的项的数量进行了误差分析,其中误差界估计基于对数资产价格过程的特征函数。文末附有实现该技术的Matlab代码。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
2.40
自引率
7.70%
发文量
54
期刊介绍: The highly selective international mathematical journal Computational Methods in Applied Mathematics (CMAM) considers original mathematical contributions to computational methods and numerical analysis with applications mainly related to PDEs. CMAM seeks to be interdisciplinary while retaining the common thread of numerical analysis, it is intended to be readily readable and meant for a wide circle of researchers in applied mathematics. The journal is published by De Gruyter on behalf of the Institute of Mathematics of the National Academy of Science of Belarus.
期刊最新文献
Variational Approximation for a Non-Isothermal Coupled Phase-Field System: Structure-Preservation & Nonlinear Stability A Space-Time Finite Element Method for the Eddy Current Approximation of Rotating Electric Machines An Inverse Matrix Eigenvalue Problem for Constructing a Vibrating Rod On Error Estimates of a discontinuous Galerkin Method of the Boussinesq System of Equations Computational Methods in Applied Mathematics (CMAM 2022 Conference, Part 2)
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1