Bermudan Put Option Price in the Double Exponential Model

Posted by Chun-Yuan Chiu

Input:

Show parameters of the double exponential model (annulized)

Risk free interest rate
sigma
p
lambda
ita_1
ita_2

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 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

 •  Jul 19, 2013  • 

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