1 / 8

2004 NTU International Conference on Finance

2004 NTU International Conference on Finance. Comments and Suggestions for 「 Toward option values of near machine precision using Gaussian Quadrature 」 (Chung, Shackleton) Chung-Gee Lin Dept. of Business Mathematics Soochow University. Contributions.

biller
Download Presentation

2004 NTU International Conference on Finance

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. 2004 NTU International Conference on Finance Comments and Suggestions for 「Toward option values of near machine precision using Gaussian Quadrature」 (Chung, Shackleton) Chung-Gee Lin Dept. of Business Mathematics Soochow University

  2. Contributions • Combination of quadrature methods and node-positioning • Use the approximation function to overcome the “curse of dimensionality” • Reduce the distribution error and non-linearity error

  3. Suggestion (1) • Speed-accuracy trade-off for Bermudan’s

  4. Gaussian 10 is inferior to Gaussian 7 ?

  5. Suggestion (2) • The Greeks • Hedge ratios • From the practitioner’s point of view • Speed-accuracy tradeoff comparisons

  6. Suggestion (3) • Is there another polynomial which is better than the Legendre?

  7. Suggestion (4) • Robustness • Different stock price • Different maturity • Different volatility

  8. Suggestion (5) • Footnote 4 disappeared

More Related