Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
نویسندگان
چکیده
منابع مشابه
Double-Exponential Fast Gauss Transform Algorithms for Pricing Discrete Lookback Options
This paper presents fast and accurate algorithms for computing the prices of discretely sampled lookback options. Under the Black-Scholes framework, the pricing of a discrete lookback option can be reduced to a series of convolutions of a function with the Gaussian distribution. Using this fact, an efficient algorithm, which computes these convolutions by a combination of the double-exponential...
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ژورنال
عنوان ژورنال: Publications of the Research Institute for Mathematical Sciences
سال: 2005
ISSN: 0034-5318
DOI: 10.2977/prims/1145474605