Intelligent Information Management

Vol.4 No.3(2012), Paper ID 19362, 5 pages

DOI:10.4236/iim.2012.43014

 

An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing

 

Deng Ding, Zuoqiu Weng, Jingya Zhao

 

Department of Mathematics, University of Macau, Macao, China
Bank of Ningbo, Shenzhen Branch, Shenzhen, China
Department of Mathematics, University of Macau, Macao, China

 

Copyright © 2012 Deng Ding, Zuoqiu Weng, Jingya Zhao et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


D. Ding, Z. Weng and J. Zhao, "An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing," Intelligent Information Management, Vol. 4 No. 3, 2012, pp. 89-93. doi: 10.4236/iim.2012.43014.

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