Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options

DOI10.1016/j.apnum.2015.11.001zbMath1409.91274OpenAlexW2175578901MaRDI QIDQ898624

Jérôme Lelong, Christophe De Luigi, Sylvain Maire

Publication date: 18 December 2015

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2015.11.001

zbMATH Keywords

option pricingcontrol variatesadaptive numerical integrationGenz package

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (2)

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Automatic control variates for option pricing using neural networks

Uses Software

• VEGAS
• TESTPACK
• Genz

Cites Work

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• Quasi-Monte Carlo methods and pseudo-random numbers
• Intégration numérique d'ordre élevé de fonctions régulières ou singulières sur un intervalle
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