An Efficient Numerical Integration Method for Basket Option Pricing

التفاصيل البيبلوغرافية
العنوان: An Efficient Numerical Integration Method for Basket Option Pricing
المؤلفون: Junhwa Ban, Hosam Ki
المصدر: Journal of Derivatives and Quantitative Studies. 13:53-76
بيانات النشر: Emerald, 2005.
سنة النشر: 2005
مصطلحات موضوعية: Multivariate statistics, Mathematical optimization, Covariance matrix, Computer science, Basket option, Computation, Numerical analysis, Principal component analysis, Numerical integration
الوصف: In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is achieved by means of Gauss-Hermite Integrations, applied to the principal component analysis of correlation matrix to improve our computation speed. Several examples are discussed to compare with other methods.
تدمد: 2713-6647
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::0e7452ee54e68faf78157e917c835d48
https://doi.org/10.1108/jdqs-01-2005-b0003
حقوق: OPEN
رقم الأكسشن: edsair.doi...........0e7452ee54e68faf78157e917c835d48
قاعدة البيانات: OpenAIRE