Higher-order interpolated lattice schemes for multidimensional option pricing problems

DOI10.1016/j.cam.2013.05.016zbMath1291.91237OpenAlexW2019400187MaRDI QIDQ2252708

Hideyuki Tanaka

Publication date: 23 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.05.016

zbMATH Keywords

weak approximationcubature formulamultidimensional latticesparse grid interpolationsparse matrix formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

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