Risk Awards 2017: Clever approach to options pricing buoyed UK bank during Brexit uncertainty
Banks weighing up move to non-interpolated standard to cut capital costs
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Trust is good, control is better – Complex model validation
Filling the gaps