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| Author: | Andricopoulos, A.D. (et al.) |
| Title: | Extending quadrature methods to value multi-asset and complex path dependent options |
| Journal: | Journal of Financial Economics
2007 : FEB, VOL. 83:2, p. 471-499 |
| Index terms: | option valuation quadratic programming numerical analysis methodology |
| Freeterms: | Barrier options Lookback options |
| Language: | eng |
| Abstract: | The exposition of the quadrature (QUAD) method is significantly extended to cover more complex and difficult problems in option valuations involving one or more underlyings. Trials comparing several techniques adapted from standard lattice, grid and Monte Carlo methods to deal with particular types of problem show that QUAD offers far greater flexibility, superiour convergence, and hence, increased accuracy and considerably reduced computational times. |
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