메뉴 건너뛰기




Volumn 49, Issue 8, 2003, Pages 1071-1088

Application of the fast Gauss transform to option pricing

Author keywords

American options; Fast Gauss transform; Jump diffusion model; Option pricing

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; CALCULATIONS; COMPUTATIONAL COMPLEXITY; DYNAMIC PROGRAMMING; FINITE DIFFERENCE METHOD; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; NUMERICAL METHODS; RANDOM PROCESSES;

EID: 0141564564     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.49.8.1071.16405     Document Type: Article
Times cited : (59)

References (23)
  • 1
    • 0141621679 scopus 로고    scopus 로고
    • Very high order lattice methods for one factor models
    • Cass Business School, London, U.K.; Retrieve March 10
    • Alford, J., N. Webber. 2001. Very high order lattice methods for one factor models. Cass Business School, London, U.K., http://www.cass.city.ac.uk/facfin/facultypages/nwebber/research.html. Retrieve March 10, 2003.
    • (2001)
    • Alford, J.1    Webber, N.2
  • 2
    • 84993897212 scopus 로고
    • Jump diffusion option valuation in discrete time
    • Amin, K. 1993. Jump diffusion option valuation in discrete time. J. Finance 48(5) 1833-1863.
    • (1993) J. Finance , vol.48 , Issue.5 , pp. 1833-1863
    • Amin, K.1
  • 3
    • 0004004062 scopus 로고    scopus 로고
    • Practical primal-dual simulation algorithms for pricing multidimensional American options
    • Working paper, Columbia University, New York
    • Andersen, L., M. Broadie. 2001. Practical primal-dual simulation algorithms for pricing multidimensional American options. Working paper, Columbia University, New York.
    • (2001)
    • Andersen, L.1    Broadie, M.2
  • 4
    • 0037252817 scopus 로고    scopus 로고
    • A new error estimate of the fast Gauss transform
    • Baxter, B., G. Roussos. 2002. A new error estimate of the fast Gauss transform. SIAM J. Sci. Comput. 24(1) 257-259.
    • (2002) SIAM J. Sci. Comput. , vol.24 , Issue.1 , pp. 257-259
    • Baxter, B.1    Roussos, G.2
  • 5
    • 0030502126 scopus 로고    scopus 로고
    • American option valuation: New bounds, approximations, and a comparison of existing methods
    • Broadie, M., J. Detemple. 1996. American option valuation: New bounds, approximations, and a comparison of existing methods. Rev. Financial Stud. 9(4) 1211-1250.
    • (1996) Rev. Financial Stud. , vol.9 , Issue.4 , pp. 1211-1250
    • Broadie, M.1    Detemple, J.2
  • 6
    • 4944229957 scopus 로고    scopus 로고
    • A stochastic mesh method for pricing high-dimensional American options
    • Working paper, Columbia University, New York; Forthcoming
    • ____, P. Glasserman. 1997 A stochastic mesh method for pricing high-dimensional American options. Working paper, Columbia University, New York, J. Comput. Finance. Forthcoming.
    • (1997) J. Comput. Finance
    • Broadie, M.1    Glasserman, P.2
  • 8
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump diffusions
    • ____, J. Pan, K. Singleton. 2000. Transform analysis and asset pricing for affine jump diffusions. Econometrica 68 1343-1376.
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.3
  • 9
    • 85039653849 scopus 로고    scopus 로고
    • Computational multilinear algebra
    • Ph.D. thesis, Cornell University, Ithaca, NY
    • Florence, A. 2001. Computational multilinear algebra. Ph.D. thesis, Cornell University, Ithaca, NY.
    • (2001)
    • Florence, A.1
  • 10
    • 0002193806 scopus 로고    scopus 로고
    • Pricing American options: A comparison of Monte Carlo approaches
    • Fu, M., S. Laprise, D. Madan, Y. Su, S. Wu 2001. Pricing American options: A comparison of Monte Carlo approaches. J. Comput. Finance 4(3) 39-88.
    • (2001) J. Comput. Finance , vol.4 , Issue.3 , pp. 39-88
    • Fu, M.1    Laprise, S.2    Madan, D.3    Su, Y.4    Wu, S.5
  • 12
    • 0012833605 scopus 로고    scopus 로고
    • A new version of the fast Gauss transform
    • ____, X. Sun. 1998. A new version of the fast Gauss transform. Documenta Math. Extra Volume ICM(III) 575-584.
    • (1998) Documenta Math. , vol.Extra Volume ICM , Issue.3 , pp. 575-584
    • Greengard, L.1    Sun, X.2
  • 13
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    • Heston, S. 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. 6(2) 327-343.
    • (1993) Rev. Financial Stud. , vol.6 , Issue.2 , pp. 327-343
    • Heston, S.1
  • 14
    • 0034383751 scopus 로고    scopus 로고
    • On the rate of convergence of discrete-time contingent claims
    • ____, G. Zhou. 2000. On the rate of convergence of discrete-time contingent claims. Math. Finance 10(1) 53-75.
    • (2000) Math. Finance , vol.10 , Issue.1 , pp. 53-75
    • Heston, S.1    Zhou, G.2
  • 15
    • 0036698288 scopus 로고    scopus 로고
    • A jump diffusion model for option pricing
    • Kou, S. 2002. A jump diffusion model for option pricing. Management Sci. 48(8) 1086-1101.
    • (2002) Management Sci. , vol.48 , Issue.8 , pp. 1086-1101
    • Kou, S.1
  • 18
    • 0035578679 scopus 로고    scopus 로고
    • Valuing American options by simulation: A simple least-squares approach
    • Longstaff, F., E. Schwartz. 2001. Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. 14(1) 113-147.
    • (2001) Rev. Financial Stud. , vol.14 , Issue.1 , pp. 113-147
    • Longstaff, F.1    Schwartz, E.2
  • 20
    • 25944471975 scopus 로고    scopus 로고
    • Convolution methods for exotic options
    • Presented at Columbia University, New York (March 22)
    • Reiner, E. 2000. Convolution methods for exotic options. Presented at Columbia University, New York (March 22).
    • (2000)
    • Reiner, E.1
  • 22
    • 0009941175 scopus 로고    scopus 로고
    • Arrow-Debreu prices for affine models
    • Working paper, Salomon Smith Barney, New York
    • Van Steenkiste, R., S. Foresi. 1999. Arrow-Debreu prices for affine models. Working paper, Salomon Smith Barney, New York.
    • (1999)
    • Van Steenkiste, R.1    Foresi, S.2
  • 23
    • 0007898394 scopus 로고
    • The fast Gauss transform with variable scales
    • Strain, J. 1991. The fast Gauss transform with variable scales. SIAM J. Sci. Statist. Comput. 12(5) 1131-1139.
    • (1991) SIAM J. Sci. Statist. Comput. , vol.12 , Issue.5 , pp. 1131-1139
    • Strain, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.