EFFICIENT QUADRATURE AND NODE POSITIONING FOR EXOTIC OPTION VALUATION

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51685

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51685

Title:	EFFICIENT QUADRATURE AND NODE POSITIONING FOR EXOTIC OPTION VALUATION
Authors:	Chung,SL;Ko,KY;Shackleton,MB;Yeh,CY
Contributors:	財務金融學系
Keywords:	PATH-DEPENDENT OPTIONS;DISCRETE-TIME;AMERICAN;MODELS;CONVERGENCE;GARCH
Date:	2010
Issue Date:	2012-03-27 19:02:46 (UTC+8)
Publisher:	國立中央大學
Abstract:	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. (C) 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30: 1026-1057, 2010
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Department of Finance] journal & Dissertation

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