L

J

LELONG , Jérôme

Last name: LELONG

First name: Jérôme

February 2016 (v1)

Journal article

Metadata-only

Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options

de Luigi, Christophe Lelong, Jérôme Maire, Sylvain

We improve an adaptive integration algorithm proposed by two of the authors by introducing a new splitting strategy based on a geometrical criterion. This algorithm is tested especially on the pricing of multidimensional vanilla options in the Black–Scholes framework which emphasizes the numerical problems of integrating non-smooth functions....

Uploaded on: December 4, 2022