Mark Lake

Bank of America

Director

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 19,975

SSRN RANKINGS

Top 19,975

in Total Papers Downloads

4,785

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Bank of America, Bank of America and Strategist
Downloads 3,616 (5,969)
Citation 4

Abstract:

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

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 and Bank of America
Downloads 716 (67,786)
Citation 3

Abstract:

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

3.

High-Performance Applications of the Non-Uniform Fast Fourier Transform to Option Pricing

Number of pages: 45 Posted: 25 Jan 2023 Last Revised: 20 Feb 2024
Leif B. G. Andersen and Mark Lake
Bank of America and Bank of America
Downloads 453 (119,752)

Abstract:

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Non-Uniform Fast Fourier Transform, NUFFT, double-exponential quadrature, option pricing, stochastic volatility