Hilbert transform approach to options valuation
Speaker:
Liming Feng, University of Illinois
Date and Time:
Tuesday, March 23, 2010 - 4:15pm to 5:00pm
Location:
Fields Institute, Room 230
Abstract:
A Hilbert transform approach to options valuation will be presented in this talk. For many popular option pricing models with known analytic characteristic functions for the underlying driving stochastic processes, the Hilbert transform approach exhibits remarkable speed and accuracy, with errors decaying exponentially in terms of the computational cost. The pricing of discrete barrier, lookback and Bermudan options will be illustrated. Applications in applied probability will also be discussed.