Reduced basis methods for pricing options with the Black-Scholes and Heston models (Q2941477)
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scientific article; zbMATH DE number 6476810
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| English | Reduced basis methods for pricing options with the Black-Scholes and Heston models |
scientific article; zbMATH DE number 6476810 |
Statements
Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (English)
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28 August 2015
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reduced basis methods
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model reduction
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a posteriori error estimation
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option pricing
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0.8653798699378967
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0.8373913764953613
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0.8243249654769897
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0.7931512594223022
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0.7920085787773132
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