haku: @indexterm DYNAMIC PROGRAMMING / yhteensä: 309
viite: 4 / 309
| Tekijä: | Broadie, M. Yamamoto, Y. |
| Otsikko: | Application of the fast Gauss transform to option pricing |
| Lehti: | Management Science
2003 : AUG, VOL. 49:8, p. 1071-1088 |
| Asiasana: | Dynamic programming Option prices USA |
| Kieli: | eng |
| Tiivistelmä: | In many of the numerical methods for pricing American options based on the dynamic programming approach, the most computationally intensive part can be formulated as the summation of Gaussians. Though this operation usually requires O(NN') work when there are N' summations to compute and the number of terms appearing in each summation is N, the amount of work can be reduced to O(N+N') using a technique called the fast Gauss transform. In this paper, this technique is applied to the multinomial method and the stochastic mesh method, and it is shown by numerical methods how it can speed up these methods dramatically, both for the Black-Scholes model and Merton's lognormal jump-diffusion model. |
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