کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5775522 | 1631739 | 2018 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the data-driven COS method
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the data-driven COS method On the data-driven COS method](/preview/png/5775522.png)
چکیده انگلیسی
In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based financial option valuation method which assumes the availability of asset data samples: a characteristic function of the underlying asset probability density function is not required. As such, the presented technique represents a generalization of the well-known COS method [1]. The convergence of the proposed method is O(1/n), in line with Monte Carlo methods for pricing financial derivatives. The ddCOS method is then particularly interesting for density recovery and also for the efficient computation of the option's sensitivities Delta and Gamma. These are often used in risk management, and can be obtained at a higher accuracy with ddCOS than with plain Monte Carlo methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 317, 15 January 2018, Pages 68-84
Journal: Applied Mathematics and Computation - Volume 317, 15 January 2018, Pages 68-84
نویسندگان
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohte,