Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474)
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scientific article
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| English | Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks |
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Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (English)
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29 September 2020
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curse of dimensionality
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high-dimensional PDEs
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semilinear PDEs
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semilinear Kolmogorov PDEs
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multilevel Picard method
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0.8412025570869446
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0.8241235017776489
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0.8090952038764954
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0.7949362993240356
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