IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v7y1994i4p277-85.html
   My bibliography  Save this article

A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications

Author

Listed:
  • Eydeland, A

Abstract

The paper describes a fast and general numerical algorithm for computing path integrals in function spaces. Efficiency is ensured by use of FFT-based procedures as the primary element of the algorithm. The total number of operations required by the algorithm can be shown to be proportional to the total number of discretization nodes. A number of financial applications of the algorithm are considered, including pricing European and American style interest rate options, path dependent options, and index amortization swaps. Citation Copyright 1994 by Kluwer Academic Publishers.

Suggested Citation

  • Eydeland, A, 1994. "A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 277-285.
    • Handle: RePEc:kap:compec:v:7:y:1994:i:4:p:277-85
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Giacomo Bormetti & Sofia Cazzaniga, 2011. "Multiplicative noise, fast convolution, and pricing," Papers 1107.1451, arXiv.org.
    3. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
    4. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
    5. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    6. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Giacomo Bormetti & Sofia Cazzaniga, 2014. "Multiplicative noise, fast convolution and pricing," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 481-494, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:7:y:1994:i:4:p:277-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.