Extending quadrature methods to value multi-asset and complex path dependent options

The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial Economics 67, 447–471 (see also Corrigendum, Journal of Financial Economics 73, 603 (2004)) is significantly extended to cover no...

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Veröffentlicht in:	Journal of financial economics 2007-02, Vol.83 (2), p.471-499
Hauptverfasser:	D. Andricopoulos, Ari, Widdicks, Martin, Newton, David P., Duck, Peter W.
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Barrier options Critical path analysis Lookback options Monte Carlo simulation Numerical techniques Option valuation Options markets Quadrature Studies
Online-Zugang:	Volltext
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