Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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Publication:1960553
DOI10.1016/S0165-1889(98)00078-5zbMath1016.91049MaRDI QIDQ1960553
Carl Chiarella, Adam Kucera, Nadima El-Hassan
Publication date: 12 January 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
Cites Work
- The pricing of the American option
- The Fokker-Planck equation. Methods of solution and applications.
- A fast algorithm for computing integrals in function spaces: Financial applications
- A spectral algorithm for pricing interest rate options
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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