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• W1990616250 abstract "This paper develops a simple network approach to American exotic option valuation under Lévy processes using the fast Fourier transform (FFT). The forward shooting grid (FSG) technique of the lattice approach is then generalized to expand the FFT-network to accommodate path-dependent variables. This network pricing approach is applicable to all Lévy processes for which the characteristic function is readily available. In other words, the log-value of the underlying asset can follow finite-activity or infinite-activity Lévy processes. With the powerful computation of FFT, the proposed network has a negligible additional computational burden compared to the binomial tree approach. The early exercise policy and option values in the continuation region are determined in a way very similar to that of the lattice approach. Numerical examples using American-style barrier, lookback, and Asian options demonstrate that the FFT-network is accurate and efficient." @default.
• W1990616250 created "2016-06-24" @default.
• W1990616250 creator A5054132008 @default.
• W1990616250 creator A5072737565 @default.
• W1990616250 date "2011-04-01" @default.
• W1990616250 modified "2023-09-26" @default.
• W1990616250 title "An FFT-network for Lévy option pricing" @default.
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• W1990616250 doi "https://doi.org/10.1016/j.jbankfin.2010.09.014" @default.
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