Pricing Bermudan and American Options Using the FFT Method

  title={Pricing Bermudan and American Options Using the FFT Method},
  author={Fang Fang},
During the whole period, from literature review, numerical implementation, to remedy seeking for discovered problems, and final thesis writing, the work was under supervision of Dr.Ir. Kees Oosterlee. Without his great help, the thesis work could never have been finished successfully. The work is performed in a cooperation with Ir. Drs. Roger Lord from Rabobank. The starting point of the methods involved in this thesis is based on his research. The idea of replacing FFT by FRFT is also proposed… CONTINUE READING