4 papers
An SFP--FCC Method for Pricing and Hedging Early-exercise Options under Lévy Processes
Tat Lung, Chan
This paper extends the Singular Fourier--Padé (SFP) method proposed by Chan (2018) to pricing/hedging early-exercise options--Bermudan, American and discrete-monitored barrier opti…
Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series
Tat Lung Chan, Nicholas Hale
This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf. Hale and Townsend 2014a), to pricing/hedging European-type, earl…
Singular Fourier-Padé Series Expansion of European Option Prices
Tat Lung Chan
We apply a new numerical method, the singular Fourier-Padé (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in Lévy and affine processes.…
Option pricing with Legendre polynomials
Julien Hok, Tat Lung Chan
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function w…