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| Author: | Andricopoulos, A. D. (et al.) |
| Title: | Universal option valuation using quadrature methods |
| Journal: | Journal of Financial Economics
2003 : MAR, VOL. 67:3, p. 447-471 |
| Index terms: | Option valuation Numerical analysis Quadratic programming |
| Freeterms: | Barrier options |
| Language: | eng |
| Abstract: | Discretely monitored options are valued with only one timestep between observations, and nodes can be perfectly placed in relation to discontinuities. Convergence is improved greatly; in the extrapolated scheme, a doubling of point can reduce error by a factor of 256. Complex problems can be evaluated accurately and orders of magnitude faster than by existing methods. |
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