A fast algorithm for computing integrals in function spaces: Financial applications
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Publication:1890891
DOI10.1007/BF01299456zbMATH Open0824.90013MaRDI QIDQ1890891FDOQ1890891
Authors: Alexander Eydeland 
Publication date: 23 May 1995
Published in: Computational Economics (Search for Journal in Brave)
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financial applicationscomputing path integrals in function spacespricing European and American style interest rate options
Cites Work
Cited In (19)
- The numerical approximation of nonlinear functionals and functional differential equations
- A new method for generating approximation algorithms for financial mathematics applications
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing discrete barrier options and credit default swaps under Lévy processes
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
- Efficient pricing and reliable calibration in the Heston model
- Pitfalls of the Fourier transform method in affine models, and remedies
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- Valuation of continuously monitored double barrier options and related securities
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- Incorporating animal movement into distance sampling
- Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
- Z-Transform and preconditioning techniques for option pricing
- Multiplicative noise, fast convolution and pricing
- Dimension-wise integration of high-dimensional functions with applications to finance
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