Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4644923 | Applied Numerical Mathematics | 2016 | 17 Pages |
Abstract
We improve an adaptive integration algorithm proposed by two of the authors by introducing a new splitting strategy based on a geometrical criterion. This algorithm is tested especially on the pricing of multidimensional vanilla options in the Black–Scholes framework which emphasizes the numerical problems of integrating non-smooth functions. In high dimensions, this new algorithm is used as a control variate after a dimension reduction based on principal component analysis. Numerical tests are performed on the Genz package, on the pricing of basket, put on minimum and digital options in dimensions up to ten.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
Christophe De Luigi, Jérôme Lelong, Sylvain Maire,