Option pricing with a direct adaptive sparse grid approach (Q432809): Difference between revisions

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+https://doi.org/10.1016/j.cam.2011.09.024
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+Multilevel Monte Carlo Path Simulation
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+A highly accurate adaptive finite difference solver for the Black–Scholes equation
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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+Q4010713
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+Sparse grids
@@ Property / cites work: Sparse grids / rank @@
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+On coordinate transformation and grid stretching for sparse grid pricing of basket options
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+Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
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+Spatially adaptive sparse grids for high-dimensional data-driven problems
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+Computational Methods for Option Pricing
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Finite element solution of diffusion problems with irregular data
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+Q4794126
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+Publication:432809