{"id":"https://openalex.org/W2951938775","doi":"https://doi.org/10.1142/s2345768614500330","title":"Fast and simple method for pricing exotic options using Gauss\u2013Hermite quadrature on a cubic spline interpolation","display_name":"Fast and simple method for pricing exotic options using Gauss\u2013Hermite quadrature on a cubic spline interpolation","publication_year":2014,"publication_date":"2014-12-01","ids":{"openalex":"https://openalex.org/W2951938775","doi":"https://doi.org/10.1142/s2345768614500330","mag":"2951938775"},"language":"en","primary_location":{"id":"doi:10.1142/s2345768614500330","doi":"https://doi.org/10.1142/s2345768614500330","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s2345768614500330","pdf_url":null,"source":{"id":"https://openalex.org/S4210222250","display_name":"Journal of Financial Engineering","issn_l":"2345-7686","issn":["2345-7686","2382-5596"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Engineering","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2517089","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Xiaolin Luo","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1292875679","display_name":"Commonwealth Scientific and Industrial Research Organisation","ror":"https://ror.org/03qn8fb07","country_code":"AU","type":"government","lineage":["https://openalex.org/I1292875679","https://openalex.org/I2801453606","https://openalex.org/I4387156119"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Xiaolin Luo","raw_affiliation_strings":["The Commonwealth Scientific and Industrial Research Organisation, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The Commonwealth Scientific and Industrial Research Organisation, Australia","institution_ids":["https://openalex.org/I1292875679"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079843797","display_name":"Pavel V. Shevchenko","orcid":"https://orcid.org/0000-0001-8104-8716","observed_orcids":["https://orcid.org/0000-0001-8104-8716"]},"institutions":[{"id":"https://openalex.org/I1292875679","display_name":"Commonwealth Scientific and Industrial Research Organisation","ror":"https://ror.org/03qn8fb07","country_code":"AU","type":"government","lineage":["https://openalex.org/I1292875679","https://openalex.org/I2801453606","https://openalex.org/I4387156119"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Pavel V. Shevchenko","raw_affiliation_strings":["The Commonwealth Scientific and Industrial Research Organisation, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The Commonwealth Scientific and Industrial Research Organisation, Australia","institution_ids":["https://openalex.org/I1292875679"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I1292875679"],"apc_list":null,"apc_paid":null,"fwci":7.6136,"has_fulltext":true,"cited_by_count":17,"citation_normalized_percentile":{"value":0.97028239,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"01","issue":"04","first_page":"1450033","last_page":"1450033"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11191","display_name":"Mathematical functions and polynomials","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/exotic-option-pricing","display_name":"exotic option pricing","score":0.8970000147819519},{"id":"https://openalex.org/keywords/gauss-hermite-quadrature","display_name":"Gauss-Hermite quadrature","score":0.9369999766349792},{"id":"https://openalex.org/keywords/cubic-spline-interpolation","display_name":"cubic spline interpolation","score":1.0},{"id":"https://openalex.org/keywords/direct-integration-method","display_name":"direct integration","score":0.7279999852180481},{"id":"https://openalex.org/keywords/american-options","display_name":"American options","score":0.5920000076293945},{"id":"https://openalex.org/keywords/bermudan-options","display_name":"Bermudan options","score":0.9509999752044678},{"id":"https://openalex.org/keywords/path-dependent-options","display_name":"path-dependent options","score":0.7490000128746033},{"id":"https://openalex.org/keywords/transition-density","display_name":"transition density","score":0.6620000004768372},{"id":"https://openalex.org/keywords/variable-annuities","display_name":"variable annuities","score":0.6859999895095825},{"id":"https://openalex.org/keywords/asian-options","display_name":"Asian options","score":0.972000002861023}],"concepts":[{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.7347000241279602},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.722599983215332},{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.704800009727478},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.6703000068664551},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.6692000031471252},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6294999718666077},{"id":"https://openalex.org/C31447003","wikidata":"https://www.wikidata.org/wiki/Q545002","display_name":"Spline interpolation","level":3,"score":0.6220999956130981},{"id":"https://openalex.org/C181330731","wikidata":"https://www.wikidata.org/wiki/Q2068418","display_name":"Finite difference","level":2,"score":0.5843999981880188},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5442000031471252},{"id":"https://openalex.org/C62869609","wikidata":"https://www.wikidata.org/wiki/Q28137","display_name":"Quadrature (astronomy)","level":2,"score":0.5322999954223633},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5231000185012817},{"id":"https://openalex.org/C6791720","wikidata":"https://www.wikidata.org/wiki/Q1670509","display_name":"Trinomial","level":2,"score":0.5152000188827515},{"id":"https://openalex.org/C205951836","wikidata":"https://www.wikidata.org/wiki/Q1147751","display_name":"Finite difference method","level":2,"score":0.4717000126838684},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.45840001106262207},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.44449999928474426},{"id":"https://openalex.org/C10390562","wikidata":"https://www.wikidata.org/wiki/Q581809","display_name":"Spline (mechanical)","level":2,"score":0.4255000054836273},{"id":"https://openalex.org/C127349201","wikidata":"https://www.wikidata.org/wiki/Q753445","display_name":"Numerical integration","level":2,"score":0.41760000586509705},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.40549999475479126},{"id":"https://openalex.org/C63320529","wikidata":"https://www.wikidata.org/wiki/Q7269435","display_name":"Quasi-Monte Carlo method","level":5,"score":0.4032000005245209},{"id":"https://openalex.org/C137800194","wikidata":"https://www.wikidata.org/wiki/Q11713455","display_name":"Interpolation (computer graphics)","level":3,"score":0.3700000047683716},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.33379998803138733},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.3296000063419342},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.32580000162124634},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.304500013589859},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.30309998989105225},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.29339998960494995},{"id":"https://openalex.org/C2776631005","wikidata":"https://www.wikidata.org/wiki/Q808919","display_name":"Barrier option","level":2,"score":0.28870001435279846},{"id":"https://openalex.org/C108268861","wikidata":"https://www.wikidata.org/wiki/Q1747602","display_name":"Finite difference coefficient","level":4,"score":0.2759000062942505},{"id":"https://openalex.org/C104824951","wikidata":"https://www.wikidata.org/wiki/Q830124","display_name":"Girsanov theorem","level":3,"score":0.2727000117301941}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1142/s2345768614500330","doi":"https://doi.org/10.1142/s2345768614500330","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s2345768614500330","pdf_url":null,"source":{"id":"https://openalex.org/S4210222250","display_name":"Journal of Financial Engineering","issn_l":"2345-7686","issn":["2345-7686","2382-5596"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Engineering","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2517089","doi":"https://doi.org/10.2139/ssrn.2517089","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2517089","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:arXiv.org:1408.6938","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1408.6938","pdf_url":"https://arxiv.org/pdf/1408.6938","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500330","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S2345768614500330","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2517089","doi":"https://doi.org/10.2139/ssrn.2517089","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2517089","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2951938775.pdf","grobid_xml":"https://content.openalex.org/works/W2951938775.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W139418627","https://openalex.org/W158727854","https://openalex.org/W1548547755","https://openalex.org/W1558904529","https://openalex.org/W1571438983","https://openalex.org/W1602773783","https://openalex.org/W1974418079","https://openalex.org/W2000061503","https://openalex.org/W2001556612","https://openalex.org/W2017809994","https://openalex.org/W2050582772","https://openalex.org/W2053063638","https://openalex.org/W2054756613","https://openalex.org/W2084083490","https://openalex.org/W2102784569","https://openalex.org/W2115261391","https://openalex.org/W2126311658","https://openalex.org/W2157674330","https://openalex.org/W2166978937","https://openalex.org/W2170120409","https://openalex.org/W2292340678","https://openalex.org/W2949946150","https://openalex.org/W2951326910","https://openalex.org/W2952058382","https://openalex.org/W3021146541","https://openalex.org/W3105258611","https://openalex.org/W3124800903","https://openalex.org/W3125221288","https://openalex.org/W3150958347","https://openalex.org/W4235097295","https://openalex.org/W4239876526","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2614475919","https://openalex.org/W3092486697","https://openalex.org/W3122484712","https://openalex.org/W2592427533","https://openalex.org/W2028356107","https://openalex.org/W2014681269","https://openalex.org/W7099316341","https://openalex.org/W650537526","https://openalex.org/W2030982502","https://openalex.org/W2606877559"],"abstract_inverted_index":{"There":[0],"is":[1,95,117,229],"a":[2,57,64,89,147,160],"vast":[3],"literature":[4],"on":[5,88],"numerical":[6],"valuation":[7],"of":[8,25,105,114,129,145,149,162,166,173,188,215],"exotic":[9,77,163],"options":[10,78,151,165,248],"using":[11,83],"Monte":[12,180],"Carlo,":[13],"binomial":[14],"and":[15,18,41,67,126,159,182,223,249],"trinomial":[16],"trees,":[17],"finite":[19,108,183,195,218],"difference":[20,109,184,196,219],"methods.":[21],"When":[22],"transition":[23],"density":[24],"the":[26,51,81,102,106,115,122,174,189,199,208,216,225,233],"underlying":[27],"asset":[28],"or":[29,155,192],"its":[30,206],"moments":[31],"are":[32,177],"known":[33,194],"in":[34,56,198,221],"closed":[35],"form,":[36],"it":[37,119,228],"can":[38,71,211,236],"be":[39,72,237],"convenient":[40],"more":[42],"efficient":[43,68],"to":[44,49,239],"utilize":[45],"direct":[46],"integration":[47,85],"methods":[48],"calculate":[50],"required":[52,132],"option":[53],"price":[54,240],"expectations":[55,82],"backward":[58],"time-stepping":[59],"algorithm.":[60],"This":[61],"paper":[62],"presents":[63],"simple,":[65],"robust":[66],"algorithm":[69,94,116,235],"that":[70,118],"applied":[73,87,238],"for":[74,124],"pricing":[75,146],"many":[76,134],"by":[79,133],"computing":[80],"Gauss-Hermite":[84],"quadrature":[86],"cubic":[90],"spline":[91],"interpolation.":[92],"The":[93,201],"fully":[96],"explicit":[97,107],"but":[98],"does":[99],"not":[100],"suffer":[101],"inherent":[103],"instability":[104],"counterpart.":[110],"A":[111],"'free'":[112],"bonus":[113],"already":[120],"contains":[121],"function":[123],"fast":[125],"accurate":[127],"interpolation":[128],"multiple":[130],"solutions":[131],"discretely":[135],"monitored":[136],"path":[137],"dependent":[138],"options.":[139],"For":[140],"illustrations,":[141],"we":[142],"present":[143],"examples":[144],"series":[148,161],"American":[150],"with":[152,179,213],"either":[153],"Bermudan":[154],"continuous":[156],"exercise":[157],"features,":[158],"path-dependent":[164,242],"target":[167],"accumulation":[168],"redemption":[169],"note":[170],"(TARN).":[171],"Results":[172],"new":[175,209],"method":[176,210],"compared":[178],"Carlo":[181],"methods,":[185],"including":[186],"some":[187,214],"most":[190],"advanced":[191],"best":[193,217],"algorithms":[197,220],"literature.":[200],"comparison":[202],"shows":[203],"that,":[204],"despite":[205],"simplicity,":[207],"rival":[212],"accuracy":[222],"at":[224],"same":[226,234],"time":[227],"significantly":[230],"faster.":[231],"Virtually":[232],"other":[241],"financial":[243],"contracts":[244],"such":[245],"as":[246],"Asian":[247],"variable":[250],"annuities.":[251]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":8}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2019-06-27T00:00:00"}
