Multi-asset option pricing using a parallel Fourier-based technique

C. C. W. Leentvaar and C. W. Oosterlee

Journal of Computational Finance

Abstract: ABSTRACT In this paper we present and evaluate a Fourier-based sparse grid method for pricing multi-asset options. This involves computing multi-dimensional integrals efficiently and we accomplish it using the fast Fourier transform. We also propose and evaluate ways to deal with the curse of dimensionality by means of parallel partitioning of the Fourier transform and by incorporating a parallel sparse grid method. Finally, we test the presented method by solving equations for options that are dependent on up to seven underlying assets.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-computational-fina ... rier-based-technique (text/html)

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:rsk:journ0:2160395

Access Statistics for this article

More articles in Journal of Computational Finance from Journal of Computational Finance
Bibliographic data for series maintained by Thomas Paine ().