Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
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DOI: 10.1007/s10543-018-0722-0
Abstract: The aim of this paper is to contribute a new second-order pseudo-spectral method via a non-uniform distribution of the computational nodes for solving multi-asset option pricing problems. In such problems, the prices are required to… read more here.
Keywords: pseudo spectral; spectral method; asset option; multi asset ... See more keywords
A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model
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DOI: 10.1007/s10614-016-9605-0
Abstract: In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a… read more here.
Keywords: option pricing; multi asset; asset option; method ... See more keywords
The Implementation of Asset Allocation Approaches: Theory and Evidence
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DOI: 10.3390/su12177162
Abstract: This study develops three capital allocation approaches and a directional weight increment algorithm to identify the efficient frontier of all possible multi-asset portfolios precisely and rapidly. Subsequently, this study proposes an asset selection criterion, based… read more here.
Keywords: asset allocation; asset; asset portfolios; allocation approaches ... See more keywords