Dimension-wise integration of high-dimensional functions with applications to finance

DOI10.1016/J.JCO.2010.06.001zbMath1203.65056OpenAlexW2002274796MaRDI QIDQ708311

Markus Holtz, Michael Griebel

Publication date: 11 October 2010

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2010.06.001

zbMATH Keywords

numerical integrationnumerical experimentssparse gridsfinanceANOVA decompositionAsian optionanalysis of variancequadrature ruleseffective dimension

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

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Uses Software

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• PATSYM
• HRMSYM

Cites Work

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