Lattice Option Pricing By Multidimensional Interpolation

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dc.creatorKargin, Vladislav
dc.date2002-12-18
dc.date2004-11-02
dc.date.accessioned2026-07-07T08:26:58Z
dc.date.available2026-07-07T08:26:58Z
dc.descriptionThis note proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated that suggests that the pricing method is less vulnerable to the curse of dimensionality. The method is illustrated by an application to rainbow options and compared to Least Squares Monte Carlo and other benchmarks.
dc.description12 pages, tables omitted
dc.identifierhttps://arxiv.org/abs/math/0212251
dc.identifierhttp://arxiv.org/abs/math/0212251
dc.identifierMathematical Finance, 2005, 15, 635-647
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/137126
dc.subjectGeneral Mathematics
dc.subject41A05; 65D05
dc.titleLattice Option Pricing By Multidimensional Interpolation
dc.typetext

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