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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Gaß, M., Glau, K., Mair, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Journal title:
SIAM Journal for Financial Mathematics
Year:
2017
Journal volume:
8
Journal issue:
1
Language:
en
Fulltext / DOI:
doi:10.1137/16M1101301
WWW:
http://arxiv.org/abs/1511.00884
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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