2 papers
q-fin.CP2026
An Analytic COS Method for Compound Option Valuation
Zhipeng Huang, Cornelis W. Oosterlee
We develop an analytic Fourier cosine (COS) method for the valuation of compound options. By deriving closed-form expressions for the cosine coefficients at all compound stages, th…
q-fin.CP2026
The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
Zhipeng Huang, Cornelis W. Oosterlee
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The m…