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Document type:
Zeitschriftenaufsatz 
Author(s):
Gaß, M., Glau, K., Mair, M. 
Title:
Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015) 
Abstract:
We propose an interpolation method for parametric option pricing tailored to the persistently recurring task of pricing liquid financial instruments. The method supports the acceleration of such essential tasks of mathematical finance as model calibration, real-time pricing, and, more generally, risk assessment and parameter risk estimation. We adapt the empirical magic point interpolation method of Barrault et al. (2004) to parametric Fourier pricing. For a large class of combinations of option...    »
 
Journal title:
Working Paper 
Year:
2016 
Language:
en 
Fulltext / DOI:
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Finanzmathematik 
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