Benutzer: Gast  Login
Titel:

Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015)

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Gaß, M., Glau, K., Mair, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
SIAM Journal for Financial Mathematics
Jahr:
2017
Band / Volume:
8
Heft / Issue:
1
Sprache:
en
Volltext / DOI:
doi:10.1137/16M1101301
WWW:
http://arxiv.org/abs/1511.00884
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen