Application of the Fast Gauss Transform to Option Pricing

References

  • Alford J., Webber N. Very high order lattice methods for one factor models. (2001) . Cass Business School, London, U.K. http://http://www.cass.city.ac.uk/facin/facultypages/nwebber/research.html. Retrieved March 10, 2003Google Scholar
  • Amin K. Jump diffusion option valuation in discrete time. J. Finance (1993) 48(5):1833–1863CrossrefGoogle Scholar
  • Andersen L., Broadie M. Practical primal-dual simulation algorithms for pricing multidimensional American options. (2001) . Working paper, Columbia University, New YorkGoogle Scholar
  • Baxter B., Roussos G. A new error estimate of the fast Gauss transform. SIAM J. Sci. Comput. (2002) 24(1):257–259CrossrefGoogle Scholar
  • Broadie M., Detemple J. American option valuation: New bounds, approximations, and a comparison of existing methods. Rev. Financial Stud.9(4):1211–1250Google Scholar
  • Broadie M., Glasserman P. A stochastic mesh method for pricing high-dimensional American options. J. Comput. Finance (1997) . Working paper, Columbia University, New YorkGoogle Scholar
  • Duffie D.Dynamic Asset Pricing Theory (1996) 3rd ed.(Princeton University Press, Princeton, NJ) Google Scholar
  • Duffie D., Pan J., Singleton K. Transform analysis and asset pricing for affine jump diffusions. Econometrica (2000) 68:1343–1376CrossrefGoogle Scholar
  • Florence A. Computational multilinear algebra. (2001) . Ph.D. thesis Cornell University, Ithaca, NYGoogle Scholar
  • Fu M., Laprise S., Madan D., Su Y., Wu R. Pricing American options: A comparison of Monte Carlo approaches. J. Comput. Finance (2001) 4(3):39–88Google Scholar
  • Greengard L., Strain J. The fast Gauss transform. SIAM J. Sci. Statist. Comput. (1991) 12(1):79–94CrossrefGoogle Scholar
  • Greengard L., Sun X. A new version of the fast Gauss transform. Documenta Math. (1998) ICM(III):575–584Extra VolumeGoogle Scholar
  • Heston S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. (1993) 6(2):327–343CrossrefGoogle Scholar
  • Heston S., Zhou G. On the rate of convergence of discrete-time contingent claims. Math. Finance (2000) 10(1):53–75CrossrefGoogle Scholar
  • Kou S. A jump diffusion model for option pricing. Management Sci. (2002) 48(8):1086–1101LinkGoogle Scholar
  • Kwok Y. K.Mathematical Models of Financial Derivatives (1998) (Springer, New York) Google Scholar
  • Lamberton D., Lapeyre B.Introduction to Stochastic Calculus Applied to Finance (1996) (Chapman & Hall/CRC, New York) Google Scholar
  • Longstaff F., Schwartz E. Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. (2001) 14(1):113–147CrossrefGoogle Scholar
  • Merton R.Continuous-Time Finance (1992) (Blackwell, New York) Google Scholar
  • Reiner E. Convolution methods for exotic options. (2000) March 22(Presented at Columbia University, New York) Google Scholar
  • Sloan I., Joe S.Lattice Methods for Multiple Integration (1994) (Clarendon Press, Oxford, U.K) Google Scholar
  • Van Steenkiste R., Foresi S. Arrow-Debreu prices for affine models. (1999) . Working paper, Salomon Smith Barney, New YorkGoogle Scholar
  • Strain J. The fast Gauss transform with variable scales. SIAM J. Sci. Statist. Comput. (1991) 12(5):1131–1139CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.