Fast and simple method for pricing exotic options using Gauss-Hermite quadrature on a cubic spline interpolation
Xiaolin Luo and Pavel V. Shevchenko
| Year of publication: |
2014
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|---|---|
| Authors: | Luo, Xiaolin ; Shevchenko, Pavel V. |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 4, p. 1-31
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| Subject: | Exotic options | Gauss-Hermite quadrature | cubic spline | finite difference method | American option | Bermudan option | target accumulation redemption note | GMWB variable annuity | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508744