METHOD AND DEVICE FOR EVALUATION OF FINANCIAL DERIVATIVES USING SPARSE GRIDS

摘要

A method and device for valuation of financial derivatives, wherein a value of a derivative is computed by a determination of an expectation. Inpu t parameters are communicated by an input unit to a computer, such as at least one processor, to establish an integrand as a function of the input parameters. A multivariate integration domain is computed. A sparse grid method is used to determine integration points and integration weights as a function of the input parameters. The integrand is integrated with an integration domain at the integration points to determine integrand values. One or more expectation parameters are computed by combining the integrand values and the integration weights. A value of the derivative is communicated through an output unit, for example to a display monitor or another display device.