Smoothing the payoff for efficient computation of basket option prices
Christian Bayer, Markus Siebenmorgen and Raul Tempone
| Year of publication: |
March 2018
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|---|---|
| Authors: | Bayer, Christian ; Siebenmorgen, Markus ; Tempone, Raul |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 491-505
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| Subject: | Computational Finance | European option pricing | Multivariate approximation and integration | Sparse grids | Stochastic Collocation methods | Monte Carlo and Quasi Monte Carlo methods | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1308003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906403