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Corrigendum to "Universal option valuation using quadrature methods": [Journal of Financial Economics 67 (2003) 447-471]
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 73 (2004) 3, pp. 603-603
Persistent link: https://www.econbiz.de/10005362688
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Universal option valuation using quadrature methods
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 67 (2003) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10005362900
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Advancing the universality of quadrature methods to any underlying process for option pricing
Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of Financial Economics 114 (2014) 3, pp. 600-612
Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is...
Persistent link: https://www.econbiz.de/10011076291
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Extending quadrature methods to value multi-asset and complex path dependent options
D. Andricopoulos, Ari; Widdicks, Martin; Newton, David P.; … - In: Journal of Financial Economics 83 (2007) 2, pp. 471-499
Persistent link: https://www.econbiz.de/10005477834