Pages that link to "Item:Q952093"
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The following pages link to On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093):
Displaying 14 items.
- Semi-implicit integration factor methods on sparse grids for high-dimensional systems (Q349859) (← links)
- Option pricing with a direct adaptive sparse grid approach (Q432809) (← links)
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
- Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
- High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542) (← links)
- A highly parallel Black–Scholes solver based on adaptive sparse grids (Q4903544) (← links)
- On the construction of sparse tensor product spaces (Q4912012) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983) (← links)
- Efficient<i>d</i>-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations (Q5308814) (← links)
- (Q5862234) (← links)
