| Input: |
Show parameters of the double exponential model (annulized)
Show inputs of the FFT pricing method
The settings of the derivative
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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