A new method for generating approximation algorithms for financial mathematics applications
From MaRDI portal
Publication:5745631
DOI10.1080/14697688.2011.580363zbMath1279.91182OpenAlexW2138480659MaRDI QIDQ5745631
Arturo Leccadito, Frank J. Fabozzi, Radu S. Tunaru
Publication date: 30 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.580363
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Quasi-Monte Carlo methods with applications in finance
- Saddlepoint approximations to option prices
- Laguerre Series for Asian and Other Options
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
- The Valuation of American Options for a Class of Diffusion Processes
- Application of the Fast Gauss Transform to Option Pricing
- Pricing American-Style Derivatives with European Call Options
- Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
- Empirical distributions of stock returns: between the stretched exponential and the power law?
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs
- Pricing American Options: A Duality Approach
- Quasi-Monte Carlo Methods in Numerical Finance
- Pricing and Hedging Spread Options
- Toward real-time pricing of complex financial derivatives
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Option pricing: A simplified approach
- LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
- A moment expansion approach to option pricing
