haku: @indexterm OPTION VALUATION / yhteensä: 37
viite: 10 / 37
| Tekijä: | Andricopoulos, A. D. (et al.) |
| Otsikko: | Universal option valuation using quadrature methods |
| Lehti: | Journal of Financial Economics
2003 : MAR, VOL. 67:3, p. 447-471 |
| Asiasana: | Option valuation Numerical analysis Quadratic programming |
| Vapaa asiasana: | Barrier options |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA