LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION (Q5700135): Difference between revisions

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scientific article; zbMATH DE number 2218869
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English
LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
scientific article; zbMATH DE number 2218869

    Statements

    title
    LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION (English)
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    author
    Vladislav Kargin
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    publication date
    27 October 2005
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    zbMATH Keywords
    relaxed greedy algorithm
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    rainbow options
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    curse of dimensionality
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    sparse grid
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    Identifiers

    zbMATH DE Number
    2218869
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