Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options

DOI10.1016/j.apnum.2015.11.001zbMath1409.91274MaRDI QIDQ898624

Jérôme Lelong, Christophe De Luigi, Sylvain Maire

Publication date: 18 December 2015

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2015.11.001

zbMATH Keywords

option pricing; control variates; adaptive numerical integration; Genz package

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

65D30: Numerical integration

Uses Software

• VEGAS
• TESTPACK
• Genz

Cites Work

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