Abstract:Based on FFT, a high-order multinomial tree is constructed, and the method to obtain the price of American style options in the Lévy conic market is studied. Firstly, the nature of the Lévy process and the pricing principle of European-style options are introduced. Secondly, the method to construct a high-order multinomial tree based on Fourier transform is presented. It can be proved by theoretical derivation that the multinomial tree can converge to the Lévy process. Thirdly, we introduce the conic market th… Show more
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