ms·1989년 7월 1일
A Reduction Method Applicable to Compound Option Formulas
Management Science
13
피인용
1.5
FWCI
1
IS/마케팅/OM 탑저널 피인용
7
IS/마케팅/OM 탑저널 참고문헌
- 주제옵션 가격 결정 · 의사결정분석
01Abstract
Curnow and Dunnett (Curnow, R. N., C. W. Dunnett. 1962. The numerical evaluation of certain multivariate normal integrals. Ann. Math. Statist. 33 571–579.) derive a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general reduction formula which can reduce substantially the computational cost of high dimension integrals. This method has a number of applications in option pricing theory in finance.
02연구 흐름
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03비슷한 논문
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04이후 연구
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05선행 연구
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06서지 정보
- 저널Management Science · 35(7) · 823–827
- 토픽Stochastic processes and financial applications · Finance
- DOI10.1287/mnsc.35.7.823
- 저자Mark Schröder