Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing

Christophe De Luigi () and Maire Sylvain ()
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Christophe De Luigi: Université du Sud Toulon-Var, I.S.I.T.V., Avenue G. Pompidou BP 56, F-83162 La Valette du Var CEDEX, France. E-mail:
Maire Sylvain: Université du Sud Toulon-Var, I.S.I.T.V., Avenue G. Pompidou BP 56, F-83162 La Valette du Var CEDEX, France. E-mail:

Monte Carlo Methods and Applications, 2010, vol. 16, issue 3-4, 265-282

Abstract: We describe an adaptive algorithm to compute piecewise sparse polynomial approximations and the integral of a multivariate function over hyper-rectangular regions in medium dimensions. The key ingredient is a quasi-Monte Carlo quadrature rule which can handle the numerical integration of both very regular and less regular functions. Numerical tests are performed on functions taken from Genz package in dimensions up to 5 and on basket options pricing.

Keywords: Adaptive numerical integration; piecewise polynomial approximations; basket option pricing (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1515/mcma.2010.011

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