Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems (Q5444261)
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scientific article; zbMATH DE number 5240403
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems |
scientific article; zbMATH DE number 5240403 |
Statements
Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems (English)
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25 February 2008
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sparse grids
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multigrid methods
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option pricing
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asymptotic expansions
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dimension reduction
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