Fast Fourier Transform with Applications to Pricing Discrete European Barrier Options under Binomial and Trinomial Tree Models
Date Issued
2006
Date
2006
Author(s)
Lin, Hong-yiu
DOI
en-US
Abstract
A derivative is a financial instrument which is constructed from other more basic underlying assets, such as bonds or stocks. With the dramatic growth of the derivatives markets, more and more derivatives have been designed and issued by financial institutions. This thesis presents a method that can be used to speed up the pricing of discrete European barrier options under binomial and trinomial tree models. Binomial tree and trinomial tree are two common and efficient models for pricing options. However, in practice, almost all barrier options are discretely monitored and the refection principle no longer works. It seems that the only way to price discrete barrier options is to traverse the whole tree, which takes quadratic time. This thesis gives the first subquadratic-time algorithm for the problem.
Subjects
快速傅立葉轉換
二元樹
三元樹
離散
歐式
障礙選擇權
Fast Fourier Transform
Pricing
Discrete
European
Barrier Options
Binomial
Trinomial
Tree
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-95-R93922028-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):1220f55a9b65550c6e83266b33c141df