scholarly journals Pricing Basket Options by Polynomial Approximations

2019 ◽  
Author(s):  
Pablo Olivares
Keyword(s):  
Basket Options ◽  
Polynomial Approximations

Basket Options for Implied Volatility Models

2011 ◽  
Author(s):  
Silke Prohl
Keyword(s):  
Implied Volatility ◽  
Basket Options ◽  
Volatility Models

Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options

2004 ◽  
Author(s):  
Dimitris Flamouris ◽  
Daniel Giamouridis
Keyword(s):  
Jump Diffusions ◽  
Basket Options

scholarly journals Polynomial approximations to Bessel functions

2003 ◽  
Vol 51 (6) ◽  
pp. 1398-1400 ◽  
Author(s):  
R.P. Millane ◽  
J.L. Eads
Keyword(s):  
Bessel Functions ◽  
Polynomial Approximations

scholarly journals PIECEWISE POLYNOMIAL APPROXIMATIONS TO THE ICRP 116 EFFECTIVE DOSE COEFFICIENTS: PHOTONS AND NEUTRONS

2017 ◽  
Vol 178 (3) ◽  
pp. 310-321
Author(s):  
M M Mille ◽  
N E Hertel ◽  
P M Bergstrom ◽  
C Lee
Keyword(s):  
Effective Dose ◽  
Piecewise Polynomial ◽  
Polynomial Approximations ◽  
Dose Coefficients

scholarly journals Pricing of basket options using univariate normal inverse Gaussian approximations

2010 ◽  
Vol 30 (3) ◽  
pp. 355-376 ◽  
Author(s):  
Fred Espen Benth ◽  
Pål Nicolai Henriksen
Keyword(s):  
Inverse Gaussian ◽  
Basket Options ◽  
Normal Inverse Gaussian

Verifying Tolerant Systems Using Polynomial Approximations

2009 ◽  
Author(s):  
Pavithra Prabhakar ◽  
Vladimeros Vladimerou ◽  
Mahesh Viswanathan ◽  
Geir E. Dullerud
Keyword(s):  
Polynomial Approximations

scholarly journals Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1498
Author(s):  
Karel J. in’t Hout ◽  
Jacob Snoeijer
Keyword(s):  
Principal Component Analysis ◽  
Numerical Experiments ◽  
Complementarity Problems ◽  
Principal Component ◽  
Partial Differential ◽  
Basket Options ◽  
Basket Option ◽  
Option Values ◽  
Convergence Behaviour ◽  
Low Dimensional

We study the principal component analysis based approach introduced by Reisinger and Wittum (2007) and the comonotonic approach considered by Hanbali and Linders (2019) for the approximation of American basket option values via multidimensional partial differential complementarity problems (PDCPs). Both approximation approaches require the solution of just a limited number of low-dimensional PDCPs. It is demonstrated by ample numerical experiments that they define approximations that lie close to each other. Next, an efficient discretisation of the pertinent PDCPs is presented that leads to a favourable convergence behaviour.

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