Mark Lake

Bank of America Merrill Lynch

Director

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

2

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CITATIONS

3

Scholarly Papers (2)

1.
Downloads 1,314 ( 14,101)
Citation 4

High Performance American Option Pricing

Number of pages: 43 Posted: 11 Jan 2015 Last Revised: 12 Aug 2015
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Downloads 1,313 (13,833)
Citation 3

Abstract:

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American option pricing, integral equations, fixed point algorithm, Chebyshev interpolation, collocation methods

High-Performance American Option Pricing

Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Number of pages: 50 Posted: 02 Aug 2016
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Downloads 1 (675,558)
Citation 2
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american options, integral, computational finance

2.

Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature

Number of pages: 33 Posted: 25 Aug 2018 Last Revised: 13 Nov 2018
Leif B. G. Andersen and Mark Lake
Bank of America Merrill Lynch and Bank of America Merrill Lynch
Downloads 116 (236,140)

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Option Pricing, Fourier Methods, Contour Deformation, Heston Model, Double-Exponential Rule