Pricing exotic derivatives exploiting structure
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Publication:299917
DOI10.1016/J.EJOR.2013.12.009zbMATH Open1338.91156OpenAlexW2031092938MaRDI QIDQ299917FDOQ299917
Authors: Daniele Marazzina, Gianluca Fusai, Debora Sesana 
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16990/1/Paper.pdf
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matrix factorizationoption pricingnumerical quadratureCEV processdiscrete monitoringexotic derivatives
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)
Cites Work
- Pricing discretely monitored Asian options by maturity randomization
- Title not available (Why is that?)
- Markov Chains
- Calculating the Singular Values and Pseudo-Inverse of a Matrix
- A continuity correction for discrete barrier options
- Option pricing under a normal mixture distribution derived from the Markov tree model
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- A unifying approach to some old and new theorems on distribution and clustering
- Convergence of barrier option prices in the binomial model
- Spectral behavior of matrix sequences and discretized boundary value problems
- Analysis of quadrature methods for pricing discrete barrier options
- High-order computational methods for option valuation under multifactor models
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- Option Pricing Under GARCH Processes Using PDE Methods
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
- An improved convolution algorithm for discretely sampled Asian options
- The Numerical Solution of Integral Equations of the Second Kind
- Arithmetic Brownian motion and real options
- How to Deduce a Proper Eigenvalue Cluster from a Proper Singular Value Cluster in the Nonnormal Case
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- On pricing lookback options under the CEV process
Cited In (22)
- Proactive hedging European call option pricing with linear position strategy
- Pricing via recursive quantization in stochastic volatility models
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
- A transform-based method for pricing Asian options under general two-dimensional models
- Optimal harvesting under marine reserves and uncertain environment
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Algorithm of calculation of combined commodity options value
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Pricing exotic options. Monotonicity in volatility and efficient simulation
- A new concept of reliability system and applications in finance
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- A general framework for pricing Asian options under Markov processes
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- A parallel wavelet-based pricing procedure for Asian options
- A backward Monte Carlo approach to exotic option pricing
- Fourier based methods for the management of complex life insurance products
- Exotic put options at the diffusion bond market
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- American step options
- Chapman-Kolmogorov lattice method for derivatives pricing
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