Advancing the quadrature method in option pricing

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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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Bibliographic Details
Main Author:	Su, Haozhe
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2018
Subjects:	quadrature (QUAD) method; option pricing
Online Access:	https://eprints.nottingham.ac.uk/53505/

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