BibTeX
@MISC{Paskov95fastervaluation,
author = {S. Paskov and J. Traub},
title = {Faster Valuation of Financial Derivatives},
year = {1995}
}
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Abstract
this paper were obtained using FINDER. One of the improvements was developing the table of primitive polynomials and initial direction numbers for dimensions up to 360. This paper is based on two years of software construction and testing. Preliminary results were presented to a number of New York City financial houses in the Fall of 1993 and the Spring of 1994. A January, 1994 article in Scientific American [5] discussed the theoretical issues and reported that "Preliminary results obtained by testing certain finance problems suggest the superiority of the deterministic methods in practice." Further results were reported at a number of conferences in the summer and fall of 1994. A June, 1994 article in Business Week [1] indicates the possible superiority of low discrepancy sequences. Details on the CMO, the numerical methods, and the test results are presented in [3]. Here we limit ourselves to stating our main conclusions and indicating typical results. For brevity, we shall refer to the method which uses Sobol points as the Sobol method. We summarize our main conclusions regarding the evaluation of this CMO. The conclusions may be divided into three groups.
Keyphrases
faster valuation financial derivative main conclusion preliminary result sobol point typical result new york city financial house scientific american certain finance problem primitive polynomial deterministic method software construction sobol method numerical method possible superiority initial direction number business week test result low discrepancy sequence theoretical issue
