TY - JOUR
T1 - Efficient quadrature and node positioning for exotic option valuation
AU - Chung, San Lin
AU - Ko, Kunyi
AU - Shackleton, Mark B.
AU - Yeh, Chung Ying
PY - 2010/11
Y1 - 2010/11
N2 - We combine the best features of two highly successful quadrature option pricing streams, improving the linked issues of numerical precision and abscissa positioning. Coupling the recombining abscissa (node) approach used in Andricopoulos, A., Widdicks, M., Duck, P., and Newton, D.P. (2003) (AWDN as well as AWND, 2007) with the Gauss-Legendre Quadrature (GQ) method of Sullivan, M.A. (2000) yields highly accurate and efficient option prices for a range of standard and exotic specifications including barrier options and in particular for NGARCH, CEV, and jump-diffusion processes. The improvements are due to manner in which GQ positions nodes and the use of these values without interpolation.
AB - We combine the best features of two highly successful quadrature option pricing streams, improving the linked issues of numerical precision and abscissa positioning. Coupling the recombining abscissa (node) approach used in Andricopoulos, A., Widdicks, M., Duck, P., and Newton, D.P. (2003) (AWDN as well as AWND, 2007) with the Gauss-Legendre Quadrature (GQ) method of Sullivan, M.A. (2000) yields highly accurate and efficient option prices for a range of standard and exotic specifications including barrier options and in particular for NGARCH, CEV, and jump-diffusion processes. The improvements are due to manner in which GQ positions nodes and the use of these values without interpolation.
UR - http://www.scopus.com/inward/record.url?scp=78149312763&partnerID=8YFLogxK
U2 - 10.1002/fut.20462
DO - 10.1002/fut.20462
M3 - 文章
AN - SCOPUS:78149312763
SN - 0270-7314
VL - 30
SP - 1026
EP - 1057
JO - Journal of Futures Markets
JF - Journal of Futures Markets
IS - 11
ER -