Fang, Fang and Oosterlee, Kees (2008): Pricing EarlyExercise and Discrete Barrier Options by FourierCosine Series Expansions.

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Abstract
We present a pricing method based on Fouriercosine expansions for earlyexercise and discretelymonitored barrier options. The method works well for exponential Levy asset price models. The error convergence is exponential for processes characterized by very smooth transitional probability density functions. The computational complexity is $O((M1) N \log{N})$ with $N$ a (small) number of terms from the series expansion, and $M$, the number of earlyexercise/monitoring dates.
Item Type:  MPRA Paper 

Original Title:  Pricing EarlyExercise and Discrete Barrier Options by FourierCosine Series Expansions 
Language:  English 
Subjects:  G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing 
Item ID:  9248 
Depositing User:  Fang Fang 
Date Deposited:  29 Jun 2008 02:42 
Last Modified:  26 Sep 2019 21:44 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/9248 