Essays about: "Benjamin Kraska"

Found 1 essay containing the words Benjamin Kraska.

  1. 1. A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing

    University essay from Lunds universitet/Matematisk statistik

    Author : Benjamin Kraska; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products. READ MORE