Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation

Bibliography:

Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation." arXiv preprint arXiv:2003.05708 (2020).

Authors:

Christian Bayer, Chiheb Ben Hammouda, And Raul Tempone

Keywords:

Deterministic quadrature methods, Hierarchical variance reduction methods, Multilevel Monte Carlo, Numerical smoothing, Adaptive sparse grids quadrature, Brownian bridge, Richardson extrapolation, Option pricing, Monte Carlo

Year:

2020

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Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation

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Stochastic Numerics Research Group (STOCHNUM)