Option Valuation using Fast Integral Transforms
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- Yamamoto Yusaku
- 名古屋大学大学院工学研究科計算理工学専攻
Bibliographic Information
- Other Title
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- 高速積分変換に基づくオプション価格評価法
- 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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Abstract
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.
Journal
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- Bulletin of the Japan Society for Industrial and Applied Mathematics
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Bulletin of the Japan Society for Industrial and Applied Mathematics 17 (2), 112-124, 2007
The Japan Society for Industrial and Applied Mathematics
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Details 詳細情報について
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- CRID
- 1390282680741863808
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- NII Article ID
- 110006318357
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- NII Book ID
- AN10288886
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- ISSN
- 09172270
- 24321982
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- NDL BIB ID
- 8882393
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL
- CiNii Articles
- KAKEN
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- Abstract License Flag
- Disallowed