A fast algorithm for computing integrals in function spaces: Financial applications

DOI10.1007/BF01299456MaRDI QIDQ1890891zbMATHFDO

Authors Alexander Eydeland

Publication date 23 May 1995

Published in Computational Economics (Search for Journal in Brave)

zbMATH Keywords

financial applicationscomputing path integrals in function spacespricing European and American style interest rate options

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cited in

(19)

• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• Incorporating animal movement into distance sampling
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• Efficient pricing and reliable calibration in the Heston model
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
• A new method for generating approximation algorithms for financial mathematics applications
• Pricing discrete barrier options and credit default swaps under Lévy processes
• Valuation of continuously monitored double barrier options and related securities
• The numerical approximation of nonlinear functionals and functional differential equations
• Pitfalls of the Fourier transform method in affine models, and remedies
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Dimension-wise integration of high-dimensional functions with applications to finance
• Multiplicative noise, fast convolution and pricing
• Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
• Z-Transform and preconditioning techniques for option pricing
• Double barrier options in regime-switching hyper-exponential jump-diffusion models

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