Bermudan Put Option Price in the CGMY Model

Posted by Chun-Yuan Chiu

Input:

Show parameters of the CGMY model (annulized)

Risk free interest rate
C
G
M
Y

Show inputs of the FFT pricing method

Number of grid points
Window [-c, c], c =

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Number of partitions
Output:
Put value

The price of a Bermudan put option in the CGMY model. The calculation is based on the FFT method. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.

Tagged: FFT, Bermudan Option, CGMY Model

 •  Apr 13, 2014  • 

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