Mark Lake

Bank of America Merrill Lynch

Director

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

2

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10

Scholarly Papers (2)

1.
Downloads 1,653 ( 12,334)
Citation 5

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Bank of America, Bank of America Merrill Lynch and Strategist
Downloads 1,652 (12,122)
Citation 4

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, Bank of America Merrill Lynch and Strategist
Downloads 1 (790,255)
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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 and Bank of America Merrill Lynch
Downloads 247 (147,236)
Citation 1

Abstract:

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