.png){kind=icon}
返回
Pricing exotic derivatives exploiting structure
.png){kind=icon}
OA
AI
DOI：10.1016/j.ejor.2013.12.009.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
In this paper we introduce a new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes. The approach exploits the structure of the matrix arising from the numerical quadrature of the pricing backward formulas to devise a convenient factorization that helps greatly in the speed-up of the recursion. The algorithm is general and is examined in detail with reference to the CEV (Constant Elasticity of Variance) process for pricing different exotic derivatives, such as Asian, barrier, Bermudan, lookback and step options for which up to date no efficient procedures are available. Extensive numerical experiments confirm the theoretical results. The MATLAB code used to perform the computation is available online at http://www1.mate.polimi.it/similar to marazzina/BP.htm. (C) 2013 Elsevier B.V. All rights reserved.
Keyword:
CEV process
Discrete monitoring
Exotic derivatives
Matrix Factorization
Numerical quadrature
Option pricing
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
6
论文数:
2.2W
被引数:
6.4W
机构
引用论文
Numerical Simulation of the Anti-Icing Performance of Electric Heaters for Icing on the NACA 0012 Airfoil.png)
AerospaceOAAI
AerospaceIF0
OAAI分享收藏Associations between Bladder Cancer Risk Factors and Tumor Stage and Grade at DiagnosisEpidemiologyOAAI
EpidemiologyIF0
OAAI分享收藏
分享收藏
查看更多内容