Il giorno Giovedì 3 Aprile 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Daniele MARAZZINA (Politecnico di Milano)
terrà un seminario dal titolo
"Fast pricing of discretely monitored exotic options by a numerical Wiener-Hopf procedure"
Abstract We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.