Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
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Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Method of lines for boundary value problems involving PDEs (65N40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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