Option pricing with a direct adaptive sparse grid approach (Q432809): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6053132 / rank | |||
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| Property / zbMATH Keywords | |||
Black-Scholes equation | |||
| Property / zbMATH Keywords: Black-Scholes equation / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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sparse grids | |||
| Property / zbMATH Keywords: sparse grids / rank | |||
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finite elements | |||
| Property / zbMATH Keywords: finite elements / rank | |||
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adaptivity | |||
| Property / zbMATH Keywords: adaptivity / rank | |||
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Revision as of 23:17, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing with a direct adaptive sparse grid approach |
scientific article |
Statements
Option pricing with a direct adaptive sparse grid approach (English)
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4 July 2012
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Black-Scholes equation
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option pricing
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sparse grids
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finite elements
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adaptivity
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