Autori
Marena, Marina
Fusai, Gianluca

Titolo
Randomization and Preconditioning Techniques for Option Pricing
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2009 - Fascicolo: 1 - Pagina iniziale: 1 - Pagina finale: 22

By geometric randomization of the option maturity, we transform the usual n-steps backward recursion that arises in option pricing into a set of n independent integral equations. In order to solve these equations, we consider different quadrature procedures that transform each integral equation into a linear system; moreover, we solve the linear systems with iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure, pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to different exponential L´evy processes.



Testo completo: http://semeq.unipmn.it/files/quaderno%20completo%20marazzina%201.pdf

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