[PDF][PDF] A Fourier cosine expansion method for pricing FX-TARN under Lévy processes
KZ Tong - Quantitative Finance and Economics, 2023 - aimspress.com
In this paper, we extend the Fourier cosine expansion (COS) method to the pricing of foreign
exchange target redemption note (FX-TARN), a popular exotic currency option. We take the …
exchange target redemption note (FX-TARN), a popular exotic currency option. We take the …
Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation
X Luo, PV Shevchenko - Journal of Financial Engineering, 2014 - World Scientific
There is a vast literature on numerical valuation of exotic options using Monte Carlo (MC),
binomial and trinomial trees, and finite difference methods. When transition density of the …
binomial and trinomial trees, and finite difference methods. When transition density of the …
A stochastic local volatility technique for TARN options
I Arregui, J Ráfales - International Journal of Computer …, 2020 - Taylor & Francis
ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which
give their holders the right to receive periodic coupons until the accumulated sum of those …
give their holders the right to receive periodic coupons until the accumulated sum of those …
Pricing TARN options with a stochastic local volatility model
I Arregui, J Ráfales - Proceedings of the XXVI Congreso de …, 2021 - digibuo.uniovi.es
Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their
holders the right to receive periodic coupons until the accumulated sum of those ones …
holders the right to receive periodic coupons until the accumulated sum of those ones …