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- 山本 有作
- 名古屋大学大学院工学研究科計算理工学専攻
書誌事項
- タイトル別名
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- Option Valuation using Fast Integral Transforms
- コウソク セキブン ヘンカン ニ モトズク オプション カカク ヒョウカホウ
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This paper surveys recent developments in numerical methods for option pricing, focusing on the approaches based on fast integral transforms. Under the Black-Scholes framework, the pricing of discrete path dependent options and Bermudan options can be reduced to evaluation of a series of convolutions of the Gaussian distribution and a known function. These convolutions can be computed efficiently using the double-exponential integration formula and fast integral transforms. The resulting algorithms have computational complexity of O (N) at each time step, where N is the number of sample points at each step, and the error decreases exponentially with N. Thus these algorithms can be shown to be faster and more accurate than any other existing algorithms. Extensions of this approach to a wider variety of options including weather derivatives and options under jump-diffusion models are also discussed.
収録刊行物
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- 応用数理
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応用数理 17 (2), 112-124, 2007
一般社団法人 日本応用数理学会
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詳細情報 詳細情報について
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- CRID
- 1390282680741863808
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- NII論文ID
- 110006318357
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- NII書誌ID
- AN10288886
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- ISSN
- 09172270
- 24321982
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- NDL書誌ID
- 8882393
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- 本文言語コード
- ja
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- データソース種別
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- JaLC
- NDL
- CiNii Articles
- KAKEN
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- 抄録ライセンスフラグ
- 使用不可