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

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%