LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

DOI10.1111/j.1467-9965.2005.00254.xzbMath1107.91049arXivmath/0212251OpenAlexW3125092672MaRDI QIDQ5700135

Vladislav Kargin

Publication date: 27 October 2005

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

Full work available at URL: https://arxiv.org/abs/math/0212251

zbMATH Keywords

sparse gridcurse of dimensionalityrainbow optionsrelaxed greedy algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity ⋮ Multi-asset American options and parallel quantization ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ Regression methods in pricing American and Bermudan options using consumption processes

Uses Software

• ElemStatLearn

Cites Work

• An irregular grid approach for pricing high-dimensional American options
• Generalization bounds for function approximation from scattered noisy data
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• Pricing American Options: A Duality Approach
• Multinomial Approximating Models for Options with k State Variables
• Universal approximation bounds for superpositions of a sigmoidal function
• Hinging hyperplanes for regression, classification, and function approximation
• Monte Carlo valuation of American options
• The Mathematics of Financial Derivatives
• Numerical Valuation of High Dimensional Multivariate European Securities
• Option pricing: A simplified approach
• On Distributions of Certain Wiener Functionals
• The elements of statistical learning. Data mining, inference, and prediction

This page was built for publication: LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION