Pricing Options Using Lattice Rules

DOI10.1080/10920277.2005.10596211zbMath1141.91419OpenAlexW2080686387MaRDI QIDQ3518776

Phelim P. Boyle, Yongzeng Lai, Ken Seng Tan

Publication date: 12 August 2008

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596211

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods ⋮ A smooth estimator for MC/QMC methods in finance ⋮ A fast numerical method for the valuation of American lookback put options ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ Weighted compound integration rules with higher order convergence for all \(N\) ⋮ Intermediate rank lattice rules and applications to finance ⋮ Quasi-Monte Carlo methods with applications in finance

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