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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43750

Title: Linear-time accurate lattice algorithms for tail conditional expectation
Authors: Bryant Chen
William Wei-Yuan Hsu
Jan-Ming Ho
Ming-Yang Kao
Contributors: 國立臺灣海洋大學:資訊工程學系
NTOU:Department of Computer Science and Engineering
Keywords: Value-at-Risk
tail conditional expectation
prefix sum
fractional steps
Date: 2014
Issue Date: 2017-10-30T07:53:01Z
Publisher: Algorithmic Finance
Abstract: Abstract:This paper proposes novel lattice algorithms to compute tail conditional expectation of European calls and puts in linear time. We incorporate the technique of prefix-sum into tilting, trinomial, and extrapolation algorithms as well as some syntheses of these algorithms. Furthermore, we introduce fractional-step lattices to help reduce interpolation error in the extrapolation algorithms. We demonstrate the efficiency and accuracy of these algorithms with numerical results. A key finding is that combining the techniques of tilting lattice, extrapolation, and fractional steps substantially increases speed and accuracy.
Relation: 3(1), pp.87-140
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43750
Appears in Collections:[資訊工程學系] 期刊論文

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