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Extending quadrature methods to value multi-asset and complex path dependent options
Ari D. Andricopoulos
,
Martin Widdicks
, David P. Newton
, Peter W. Duck
Research output
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Article
›
peer-review
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Keyphrases
Accuracy Improvement
33%
Choice Method
33%
Complex Path
100%
Computation Time
33%
Curse of Dimensionality
33%
Difficult Problem
33%
Duck
33%
Early Exercise
33%
Exercise Dependence
33%
Financial Economics
66%
Lattice Grid
33%
Monte Carlo Method
66%
Multi-asset
100%
Multi-complexes
100%
Multiple Underlying Assets
33%
Option Valuation
66%
Path Dependence
33%
Path-dependent Options
100%
Pricing Options
33%
Quadrature
66%
Quadrature Method
100%
Standard Lattice
33%
Underlying Asset
33%
Up to Five
33%
Mathematics
Curse of Dimensionality
50%
Lattices
50%
Monte Carlo
100%
Option Pricing
50%
Underlying Asset
100%
Economics, Econometrics and Finance
Financial Economics
100%
Monte Carlo Simulation
100%
Pricing
50%