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Testing Cubature Formulae on Wiener Space vs Explicit Pricing Formulae
Mälardalen University, Västerås, Sweden.ORCID-id: 0000-0001-9303-1196
Mälardalen University, Västerås, Sweden.ORCID-id: 0000-0002-0139-0747
2023 (engelsk)Inngår i: Stochastic Processes, Statistical Methods, and Engineering Mathematics / [ed] Anatoliy Malyarenko, Ying Ni, Milica Rančić, Sergei Silvestrov, Springer Nature, 2023, s. 223-248Kapittel i bok, del av antologi (Fagfellevurdert)
Abstract [en]

Cubature is an effective way to calculate integrals in a finite dimensional space. Extending the idea of cubature to the infinite-dimensional Wiener space would have practical usages in pricing financial instruments. In this paper, we calculate and use cubature formulae of degree 5 and 7 on Wiener space to price European options in the classical Black–Scholes model. This problem has a closed form solution and thus we will compare the obtained numerical results with the above solution. In this procedure, we study some characteristics of the obtained cubature formulae and discuss some of their applications to pricing American options.

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Springer Nature, 2023. s. 223-248
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Springer Proceedings in Mathematics & Statistics, ISSN 2194-1009, E-ISSN 2194-1017 ; 408
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URN: urn:nbn:se:liu:diva-203006DOI: 10.1007/978-3-031-17820-7_12Scopus ID: 2-s2.0-85171598661ISBN: 9783031178191 (tryckt)ISBN: 9783031178207 (digital)OAI: oai:DiVA.org:liu-203006DiVA, id: diva2:1853955
Tilgjengelig fra: 2024-04-24 Laget: 2024-04-24 Sist oppdatert: 2024-10-28bibliografisk kontrollert

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Nohrouzian, Hossein

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Nohrouzian, HosseinMalyarenko, Anatoliy

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