Application of the fast Gauss transform to option pricing

Management Science

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

  Broadie, Mark ^a   Yamamoto, Yusaku ^b  

^a Howard Hughes Medical Institute   (United States)

^b HITACHI LTD   (Japan)

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;

FAST GAUSS TRANSFORM; JUMP DIFFUSION MODEL; MULTINOMIAL METHOD; STOCHASTIC MESH METHOD;

COSTS;

EID: 0141564564     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.49.8.1071.16405     Document Type: Article

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