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15 years of Adjoint Algorithmic Differentiation (AAD) in finance
Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379
Persistent link: https://www.econbiz.de/10015196929
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An efficient grid lattice algorithm for pricing American-style options
Liu, Zhongkai; Pang, Tao - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 36-55
Persistent link: https://www.econbiz.de/10011589162
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A new algorithm for American option pricing : Fourier transform method
Lu, Zi-min - 1995
Persistent link: https://www.econbiz.de/10000913964
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Algorithmic Differentiation for Callable Exotics
Antonov, Alexandre - 2017
In this article, we study the algorithmic calculation of present values greeks for callable exotic instruments. The … speed of greeks evaluations becomes important with recent initial margin rules, including the ISDA standard model SIMM … greeks, if computed by a simple bump-and-reprice. The fast alternative is the adjoint differentiation (AD) method. However, a …
Persistent link: https://www.econbiz.de/10012968139
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An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Dang, Duy-Minh - 2011
We develop highly-efficient parallel Partial Differential Equation (PDE) based pricing methods on Graphics Processing Units (GPUs) for multi-asset American options. Our pricing approach is built upon a combination of a discrete penalty approach for the linear complementarity problem arising due...
Persistent link: https://www.econbiz.de/10013132968
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A Parallel Algorithm for Pricing American Options
Cortazar, Gonzalo - 2013
We propose a novel, fast, accurate parallel algorithm for pricing American options. We perform a thorough numerical …
Persistent link: https://www.econbiz.de/10013076220
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Hedging and Pricing European-Type, Early-Exercise and Discrete Barrier Options Using an Algorithm for the Convolution of Legendre Series
Chan, Ron - 2019
This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf …
Persistent link: https://www.econbiz.de/10012897329
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Accuracy measures for American put option pricing algorithms
Goldenberg, David Harold - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 5-40
Persistent link: https://www.econbiz.de/10003984963
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On a recursive algorithm for pricing discrete barrier options
Llemit, Dennis G. - In: International journal of financial engineering 2 (2015) 4, pp. 1-12
Persistent link: https://www.econbiz.de/10011493320
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Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
Zanger, Daniel Z. - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 447-479
Persistent link: https://www.econbiz.de/10011969162