Bermudan Put Option Price in the Double Exponential Model

Posted by Chun-Yuan Chiu


Show parameters of the double exponential model (annulized)

Risk free interest rate

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
Put value

The price of an Asian call option in the double exponential model, a model proposed by Kou (2002). 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, Double Exponential Model, Jump-Diffusion Model

 •  Jun 26, 2013  • 

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