Magic Points in Finance: Empirical Integration for Parametric Option Pricing

DOI10.1137/16M1101301zbMath1429.91320arXiv1511.00884OpenAlexW1961027791MaRDI QIDQ4607050

Maximilian Gaß, Kathrin Glau, Maximilian L. Mair

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.00884

zbMATH Keywords

Fourier transformcalibrationaffine processesparametric integrationFourier pricingempirical interpolationoffline-online decompositionmagic point interpolationsparse integration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Related Items (3)

Chebyshev interpolation for parametric option pricing ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ Strong convergence rates for Markovian representations of fractional processes

Uses Software

• BENCHOP

Cites Work

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