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We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Chebyshev method of Glau et al. (2019). The dynamic Chebyshev method del
Externí odkaz:
http://arxiv.org/abs/1905.00238
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allo
Externí odkaz:
http://arxiv.org/abs/1806.05579
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk management on t
Externí odkaz:
http://arxiv.org/abs/1505.04648
Publikováno v:
SIAM Journal on Scientific Computing
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5f36caee62c20f9a3de2a8b01c1d97f4
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk management on t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ede36b258b29b4aac3c18ac7890088e5
http://arxiv.org/pdf/1505.04648
http://arxiv.org/pdf/1505.04648