Fast quadrature methods for options with discrete dividends

DOI10.1016/j.cam.2017.08.006zbMath1415.91320MaRDI QIDQ1675932

Muddun Bhuruth, Deeveya Thakoor

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.08.006

zbMATH Keywords

option pricing; Fejér quadrature; discrete dividends

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

41A55: Approximate quadratures

65D30: Numerical integration