Efficient Rainbow Options Pricing Methods Based on Two-Dimensional Fourier Series Expansions

Deng Ding; Qing Jiang Meng; Jia Yu Zheng

doi:10.4028/www.scientific.net/AMM.444-445.692

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 444-445Efficient Rainbow Options Pricing Methods Based on...

Efficient Rainbow Options Pricing Methods Based on Two-Dimensional Fourier Series Expansions

Abstract:

An efficient option pricing method based on two dimensional Fourier series expansions was proposed by Ruijter and Oosterlee in 2012, recently, this method was extended to modified two dimensional Fourier series expansions by Meng and Ding. In this paper, these methods are applied to deduce efficient pricing formulae for two bivariate assets rainbow options, so called as put-on-mini- mum and call-on-maximum. A series of numerical experiments for such options pricing is presen- ted to compare these methods, and some conclusions are then given based on those numerical results.

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Periodical:

Applied Mechanics and Materials (Volumes 444-445)

Pages:

692-697

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.444-445.692

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Online since:

October 2013

Authors:

Deng Ding, Qing Jiang Meng, Jia Yu Zheng

Keywords:

Call-on-Maximum Option, GBM Model, Jump-Diffusion Model, Put-on-Minimum, Two-Dimensional Modified Fourier Expansions

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References

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