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Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613315126001664 |
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| access_status_str | Open Access |
| author | Moir, Richard |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Moir, Richard |
| author_facet | Becker, Ronald Moir, Richard |
| author_sort | Moir, Richard |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8520 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:10.861Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8520 Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model Moir, Richard Becker, Ronald Includes bibliographical references. We focus on the pricing of Bermudan and barrier options under the dynamics of the Heston stochastic volatility model. The two-dimensional nature of the Heston model makes the pricing of these options problematic, as the risk-neutral expectations need to be calculated at each exercise/observation date along a continuum of the two state spaces. We examine the 2D-COS method, which makes use of Fourier-cosine expansions in each of the two dimensions in order to approximate the integrals. Using the fast Fourier transform, we are able to efficiently calculate the cosine series coefficients at each exercise/observation date. A construction of this method is provided and we conduct numerical experiments to evaluate its speed and accuracy. 2014-10-17T10:09:45Z 2014-10-17T10:09:45Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8520 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Moir, Richard Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| thesis_degree_str | Master's |
| title | Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| title_full | Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| title_fullStr | Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| title_full_unstemmed | Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| title_short | Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model |
| title_sort | two dimensional cos method for pricing early exercise and discrete barrier options under the heston model |
| url | http://hdl.handle.net/11427/8520 |
| work_keys_str_mv | AT moirrichard twodimensionalcosmethodforpricingearlyexerciseanddiscretebarrieroptionsunderthehestonmodel |