9 citations · 11 across the 5 of their papers we have counts for
Showing 2015 · q-fin.CPShow all
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q-fin.CP2015★ 2 cited
Magic points in finance: Empirical integration for parametric option pricing
Maximilian Gaß, Kathrin Glau, Maximilian Mair
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model cal…
q-fin.CP2015★ 9 cited
Chebyshev Interpolation for Parametric Option Pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt +1
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on t…