Pricing Options Using Lattice Rules

DOI10.1080/10920277.2005.10596211MaRDI QIDQ3518776zbMATH OpenOpenAlexFDO

Authors Phelim 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

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

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Cites work

• Applications of randomized low discrepancy sequences to the valuation of complex securities
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• Explicit global function fields over the binary field with many rational places
• scientific article; zbMATH DE number 3854294 (Why is no real title available?)
• scientific article; zbMATH DE number 3728384 (Why is no real title available?)
• scientific article; zbMATH DE number 67146 (Why is no real title available?)
• scientific article; zbMATH DE number 3591295 (Why is no real title available?)
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• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
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• Randomization of Number Theoretic Methods for Multiple Integration
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• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(17)

• Valuation on an outside-reset option with multiple resettable levels and dates
• A fast numerical method for the valuation of American lookback put options
• Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
• The linear-congruential-algorithm based lattice method in Asian option pricing
• 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
• A multi-dimensional local average lattice method for multi-asset models
• Constructing Robust Good Lattice Rules for Computational Finance
• Efficient Weighted Lattice Rules with Applications to Finance
• AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• On a Full Monte Carlo Approach to Computational Finance
• A smooth estimator for MC/QMC methods in finance
• Weighted compound integration rules with higher order convergence for all N
• Regularity of a best-of option's payoff
• Intermediate rank lattice rules and applications to finance
• Quasi-Monte Carlo methods with applications in finance

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