Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474)

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English	Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks	scientific article

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title

Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (English)

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zbMATH Open document ID

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Philippe von Wurstemberger

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published in

Electronic Journal of Probability

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publication date

29 September 2020

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full work available at URL

https://arxiv.org/abs/1903.05985

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https://projecteuclid.org/euclid.ejp/1597910413

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Mathematics Subject Classification ID

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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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describes a project that uses

DGM

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MaRDI publication profile

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The Pricing of Options and Corporate Liabilities

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OpenAlex ID

W2921935427

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mardi Publication:2201474