Cache-optimal algorithms for option pricing
نویسندگان
چکیده
منابع مشابه
On Accurate Trinomial GARCH Option Pricing Algorithms
The GARCH model has been successful in describing the volatility dynamics of asset return series. However, tree-based GARCH option pricing algorithms suffer from exponential running time, inaccuracy, or other problems. Lyuu and Wu proved that the trinomial-tree option pricing algorithms of Ritchken and Trevor (1999) and Cakici and Topyan (2000) explode exponentially when the number of partition...
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ژورنال
عنوان ژورنال: ACM Transactions on Mathematical Software
سال: 2010
ISSN: 0098-3500,1557-7295
DOI: 10.1145/1644001.1644008