https://scholars.lib.ntu.edu.tw/handle/123456789/414496
標題: | Efficient quadrature and node positioning for exotic option valuation | 作者: | Chung S.-L. Ko K. Shackleton M.B. Yeh C.-Y. |
公開日期: | 2010 | 卷: | 30 | 期: | 11 | 起(迄)頁: | 1026-1057 | 來源出版物: | Journal of Futures Markets | 摘要: | We combine the best features of two highly successful quadrature option pricing streams, improving the linked issues of numerical precision and abscissa positioning. Coupling the recombining abscissa (node) approach used in Andricopoulos, A., Widdicks, M., Duck, P., and Newton, D.P. (2003) (AWDN as well as AWND, 2007) with the Gauss-Legendre Quadrature (GQ) method of Sullivan, M.A. (2000) yields highly accurate and efficient option prices for a range of standard and exotic specifications including barrier options and in particular for NGARCH, CEV, and jump-diffusion processes. The improvements are due to manner in which GQ positions nodes and the use of these values without interpolation. ? 2010 Wiley Periodicals, Inc. Jrl Fut Mark. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414496 | ISSN: | 02707314 | DOI: | 10.1002/fut.20462 |
顯示於: | 財務金融學系 |
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