Magic Points in Finance: Empirical Integration for Parametric Option Pricing

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

Kathrin Glau, Maximilian Gaß, 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 transform; calibration; affine processes; parametric integration; Fourier pricing; empirical interpolation; offline-online decomposition; magic point interpolation; sparse integration

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

42A38: Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type

Uses Software

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