Smoothing the payoff for efficient computation of Basket option prices

DOI10.1080/14697688.2017.1308003zbMath1400.91649arXiv1607.05572OpenAlexW2490928546MaRDI QIDQ4554434

Raúl Tempone, M. Siebenmorgen, Christian Bayer

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.05572

zbMATH Keywords

sparse gridsEuropean option pricingcomputational financestochastic collocation methodsmultivariate approximation and integrationMonte Carlo and quasi Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (10)

The deep parametric PDE method and applications to option pricing ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ A space-time spectral method for time-fractional Black-Scholes equation ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ Implied stopping rules for American basket options from Markovian projection ⋮ Low-Dimensional Approximations of High-Dimensional Asset Price Models

Uses Software

• nwSpGr
• PATSYM
• HRMSYM

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