Search Results - "Multivariate approximation and integration"

Smoothing the payoff for efficient computation of Basket option prices

Authors: Bayer, Christian Siebenmorgen, Markus Tempone, Raul et al.

Contributors: Bayer, Christian Siebenmorgen, Markus Tempone, Raul et al.

Source: Quantitative Finance. 18:491-505

Subject Terms: Computational Finance (q-fin.CP), 01 natural sciences, 91G60, 65D30, 65C20, Computational Finance -- European Option Pricing -- Multivariate approximation and integration -- Sparse grids -- Stochastic Collocation methods -- Monte Carlo and Quasi Monte Carlo methods, FOS: Economics and business, Quantitative Finance - Computational Finance, Stochastic Collocation methods, 0502 economics and business, Computational Finance, FOS: Mathematics, 65D30, Mathematics - Numerical Analysis, 0101 mathematics, ddc:510, European option pricing, European Option Pricing, 05 social sciences, article, 91G60, Sparse grids, Numerical Analysis (math.NA), Monte Carlo and Quasi Monte Carlo methods, 65C20, Multivariate approximation and integration

File Description: application/pdf

Access URL: https://repository.kaust.edu.sa/bitstream/10754/626067/1/1607.05572.pdf
http://arxiv.org/abs/1607.05572
http://ui.adsabs.harvard.edu/abs/2016arXiv160705572B/abstract
https://core.ac.uk/display/42750710
https://www.arxiv-vanity.com/papers/1607.05572/
https://ideas.repec.org/a/taf/quantf/v18y2018i3p491-505.html
https://www.tandfonline.com/doi/full/10.1080/14697688.2017.1308003
https://repository.kaust.edu.sa/handle/10754/626067

Smoothing the payoff for efficient computation of basket option prices

Authors: Bayer, Christian Siebenmorgen, Markus Tempone, Raúl F.

Subject Terms: article, ddc:510, 91G60, 65D30, 65C20, Stochastische Algorithmen und Nichtparametrische Statistik, Volatilitätsschätzung und Risikobewertung, Computational Finance, European Option Pricing, Multivariate approximation and integration, Sparse grids, Stochastic Collocation methods, Monte Carlo and Quasi Monte Carlo methods

Relation: https://doi.org/10.20347/WIAS.PREPRINT.2280

Availability: https://doi.org/10.20347/WIAS.PREPRINT.2280
https://archive.wias-berlin.de/receive/wias_mods_00002349
https://archive.wias-berlin.de/servlets/MCRFileNodeServlet/wias_derivate_00002262/wias_preprints_2280.pdf
http://www.wias-berlin.de/publications/wias-publ/run.jsp?template=abstract&type=Preprint&year=2016&number=2280