Numerical techniques for the valuation of basket options and their Greeks

DOI10.21314/JCF.2010.217zbMath1284.91572OpenAlexW2427541736MaRDI QIDQ5411505

Corinna Hager, Stefan Hüeber, Barbara I. Wohlmuth

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.217

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods for variational inequalities and related problems (65K15)

Related Items (8)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options ⋮ A second-order positivity preserving numerical method for gamma equation ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Implied stopping rules for American basket options from Markovian projection

Uses Software

• Sparse Grid Interpolation

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