Smoothing the payoff for efficient computation of Basket option prices-Reference-Cited by-同舟云学术

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Smoothing the payoff for efficient computation of Basket option prices

Published:2017-07-20 Issue:3 Volume:18 Page:491-505
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bayer Christian¹,Siebenmorgen Markus²,Tempone Raul³

Affiliation:

1. Weierstrass Institute, Mohrenstrasse 39, 10117Berlin, Germany.

2. Institute for Numerical Simulation, University of Bonn, Wegelerstr. 6, 53115Bonn, Germany.

3. CEMSE, King Abdullah University of Science and Technology (KAUST), Thuwal, 23955-6900Saudi Arabia.

Funder

King Abdullah University of Science and Technology

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1308003

Reference34 articles.

1. Conditional Sampling for Barrier Option Pricing Under the Heston Model

2. Conditional Sampling for Barrier Option Pricing under the LT Method

3. On the Probability Density Function of Baskets

4. Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets

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2. Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities;SIAM Journal on Scientific Computing;2024-05-03

3. Valuation of Spread and Basket Options;NTU MANAG REV;2024

4. MLMC Techniques for Discontinuous Functions;Springer Proceedings in Mathematics & Statistics;2024

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