Advancing the quadrature method in option pricing
This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computationally efficient, apply it to different underlying processes and even develop a new breed of QUAD method. QUAD is efficient in many ways except when it comes to options with early exercise opportunitie...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
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2018
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| Online Access: | https://eprints.nottingham.ac.uk/53505/ |