A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing
(2015) MASM01 20152Mathematical Statistics
- Abstract (Swedish)
- We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black-
Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and
high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the
extension of the methods to other models and financial products.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8408338
- author
- Kraska, Benjamin
- supervisor
- organization
- course
- MASM01 20152
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 8408338
- date added to LUP
- 2015-12-16 15:15:39
- date last changed
- 2015-12-16 15:15:39
@misc{8408338, abstract = {{We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products.}}, author = {{Kraska, Benjamin}}, language = {{eng}}, note = {{Student Paper}}, title = {{A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing}}, year = {{2015}}, }