EconPapers    
Economics at your fingertips  
 

Numerical Methods in Multivariate Option Pricing

Manfred Gilli (), Kai Hencken, Philippe Huber and Evis Kellezi, Matthias Kroedel () and Giorgio Pauletto ()
Additional contact information
Kai Hencken: University of Basel
Philippe Huber and Evis Kellezi: University of Geneva
Matthias Kroedel: University of Geneva

No 914, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: Many numerical methods to price options have been suggested in the finance literature. This paper aims at reviewing several numerical approaches in order to discuss their practical strenghts and/or weaknesses. The problem under investigation is a multivariate contingent claims model with three underlying assets. We compare several alternatives in the partial differential equation framework: explicit, ADI, and implicit methods, the Fourier grid method, and the Monte Carlo approach, which becomes the only amenable method when the dimension of the problem grows. The comparison criteria are computational complexity, robustness with respect to initial conditions and parameter settings, and potential for a parallel implementation.

Date: 1999-03-01
References: Add references at CitEc
Citations: Track citations by RSS feed

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:sce:scecf9:914

Access Statistics for this paper

More papers in Computing in Economics and Finance 1999 from Society for Computational Economics CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2021-02-01
Handle: RePEc:sce:scecf9:914