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Discrete Algorithms for Multivariate Financial Calculus

In: Stochastic Analysis 2010

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  • Radu Tunaru

    (University of Kent, Kent Business School)

Abstract

Quantitative financial calculus is dominated by calculations of integrals related to various moments of probability distributions used for modelling. Here, we develop a general technique that facilitates the numerical calculations of options, prices for the difficult case of multi-assets, for the majority of European payoff contracts. The algorithms proposed here rely on known weak convergence results, hence making use of the gaussian probability kernel even when modelling with non-gaussian distributions. In addition, this technique can be employed for calculating greek parameters. We prove that the weak convergence characterizing condition can still be applied under some mild assumption on the payoff function of financial options.

Suggested Citation

  • Radu Tunaru, 2011. "Discrete Algorithms for Multivariate Financial Calculus," Springer Books, in: Dan Crisan (ed.), Stochastic Analysis 2010, pages 243-266, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-15358-7_12
    DOI: 10.1007/978-3-642-15358-7_12
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