Discrete Algorithms for Multivariate Financial Calculus

Radu Tunaru ()
Additional contact information
Radu Tunaru: University of Kent, Kent Business School

A chapter in Stochastic Analysis 2010, 2011, pp 243-266 from Springer

Abstract: Abstract Quantitative financial calculus is dominated by calculations of integrals related to various moments of probability distributions used for modelling. Here, we develop a general technique that facilitates the numerical calculations of options, prices for the difficult case of multi-assets, for the majority of European payoff contracts. The algorithms proposed here rely on known weak convergence results, hence making use of the gaussian probability kernel even when modelling with non-gaussian distributions. In addition, this technique can be employed for calculating greek parameters. We prove that the weak convergence characterizing condition can still be applied under some mild assumption on the payoff function of financial options.

Keywords: Approximation algorithms; Greeks; Multi-asset options; Weak convergence (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15358-7_12

Ordering information: This item can be ordered from
http://www.springer.com/9783642153587

DOI: 10.1007/978-3-642-15358-7_12

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().