In this work, we discuss and empirically analyse the importance of a practice common to every numerical procedure for pricing a derivative contract: the grid construction. It is a relevant factor in different techniques and we describe and propose different solutions. An empirical application illustrates the advantages of a well-specified grid in the evaluation of call and put options during its life and the value changes for different time and space steps.

Valuation of financial derivatives

CASSADER, Marco
2014-01-01

Abstract

In this work, we discuss and empirically analyse the importance of a practice common to every numerical procedure for pricing a derivative contract: the grid construction. It is a relevant factor in different techniques and we describe and propose different solutions. An empirical application illustrates the advantages of a well-specified grid in the evaluation of call and put options during its life and the value changes for different time and space steps.
journal article - articolo
2014
Cassader, Marco
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/31860
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