Chen, Bryant
[VerfasserIn]
;
Hsu, William W.Y
[Sonstige Person, Familie und Körperschaft];
Ho, Jan-Ming
[Sonstige Person, Familie und Körperschaft];
Kao, Ming-Yang
[Sonstige Person, Familie und Körperschaft]
Linear-Time Accurate Lattice Algorithms for Tail Conditional Expectation
Anmerkungen:
In: Algorithmic Finance 2014, 3:1-2, 87-140
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 26, 2014 erstellt
Beschreibung:
This paper proposes novel lattice algorithms to compute tail conditional expectation of European calls and puts in linear time. We incorporate the technique of prefix-sum into tilting, trinomial, and extrapolation algorithms as well as some syntheses of these algorithms. Furthermore, we introduce fractional-step lattices to help reduce interpolation error in the extrapolation algorithms. We demonstrate the efficiency and accuracy of these algorithms with numerical results. A key finding is that combining the techniques of tilting lattice, extrapolation, and fractional steps substantially increases speed and accuracy