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Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models [PDF]
, 2022 Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compared to alternative techniques because the integrand in the frequency space
Bayer, Christian +7 more
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Multi-Asset Spread Option Pricing and Hedging [PDF]
SSRN Electronic Journal, 2007 We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate.
Li, Minqiang, Deng, Shijie, Zhou, Jieyun
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Pricing multi-asset options with sparse grids
, 2008 Multi-asset options are based on more than one underlying asset, in contrast to standard vanilla options. A very significant problem within the pricing techniques for multi-asset options is the curse of dimensionality. This curse of dimensionality is the exponential growth of the complexity of the problem when the dimensionality increases, because the ...
Leentvaar, C.C.W. +1 more
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Pricing Multi-Asset Options with an External Barrier [PDF]
International Journal of Theoretical and Applied Finance, 1998 An external barrier of an option contract is a stochastic variable which determines whether the option is knocked in or out when the value of the variable is above or below some predetermined level, but itself is not the price of an asset which underlies the option.
Kwok, Yue-Kuen, Wu, Lixin, Yu, Hong
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Multi-asset American Options and Parallel Quantization [PDF]
Methodology and Computing in Applied Probability, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bronstein, A., Pagès, G., Portès, J.
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Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns [PDF]
, 2003 PhDIn this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure.
Wang, Shijun
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Parallel Computing Method of Valuing for Multi-asset European Option [PDF]
International Journal of Information Technology & Decision Making, 2003 A critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow.
Weimin Zheng +3 more
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High dimensional American options [PDF]
, 2005 Pricing single asset American options is a hard problem in mathematical finance. There are no closed form solutions available (apart from in the case of the perpetual option), so many approximations and numerical techniques have been developed.
Firth, Neil Powell
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A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs
Journal of Management Science and Engineering, 2016 :: This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs.
Xue-Zhong He, Lei Shi
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Assessing engagement decisions in NFT Metaverse based on the Theory of Planned Behavior (TPB)
Telematics and Informatics Reports, 2023 Non-Fungible Tokens (NFTs) have reached enormous levels of interest all over the world; The attraction was huge besides buying or creating an NFT. However, the actual use requires consideration of many aspects and sources to make decisions and engage in ...
Hayder Albayati +2 more
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