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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Efficient quadrature and node positioning for exotic option valuation
Chung, San-lin; Ko, Kunyi; Shackleton, Mark B.; Yeh, … - In: The journal of futures markets 30 (2010) 11, pp. 1026-1057
Persistent link: https://www.econbiz.de/10008900940
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Alternative numerical approaches to portfolio construction and complex option pricing
Roko, Ilir - 2006
Persistent link: https://www.econbiz.de/10008653032
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
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Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
Hepperger, Peter Thomas - 2011
Persistent link: https://www.econbiz.de/10009375794
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009558308
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383
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Numerics of implied binomial trees
Härdle, Wolfgang; Mysicková, Alena - In: Applied quantitative finance, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003746028