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

@@ Property / DOI @@
-.1016/j.cam.2011.09.024
@@ Property / DOI: 10.1016/j.cam.2011.09.024 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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@@ Property / zbMATH DE Number @@
+6053132
@@ Property / zbMATH DE Number: 6053132 / rank @@
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@@ Property / zbMATH Keywords @@
+Black-Scholes equation
@@ Property / zbMATH Keywords: Black-Scholes equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sparse grids
@@ Property / zbMATH Keywords: sparse grids / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite elements
@@ Property / zbMATH Keywords: finite elements / rank @@
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@@ Property / zbMATH Keywords @@
+adaptivity
@@ Property / zbMATH Keywords: adaptivity / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2011.09.024
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@@ Property / OpenAlex ID @@
+W1973141700
@@ Property / OpenAlex ID: W1973141700 / rank @@
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@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+A highly accurate adaptive finite difference solver for the Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Q4955537
@@ Property / cites work: Q4955537 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Q4010713
@@ Property / cites work: Q4010713 / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse grids
@@ Property / cites work: Sparse grids / rank @@
+Normal rank
@@ Property / cites work @@
+On coordinate transformation and grid stretching for sparse grid pricing of basket options
+Normal rank
@@ Property / cites work @@
+Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
+Normal rank
@@ Property / cites work @@
+Spatially adaptive sparse grids for high-dimensional data-driven problems
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
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@@ Property / DOI @@
+.1016/J.CAM.2011.09.024
@@ Property / DOI: 10.1016/J.CAM.2011.09.024 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:432809