Smoothing the payoff for efficient computation of Basket option prices (Q4554434)
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scientific article; zbMATH DE number 6979474
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Smoothing the payoff for efficient computation of Basket option prices |
scientific article; zbMATH DE number 6979474 |
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Smoothing the payoff for efficient computation of Basket option prices (English)
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14 November 2018
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computational finance
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European option pricing
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multivariate approximation and integration
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sparse grids
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stochastic collocation methods
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Monte Carlo and quasi Monte Carlo methods
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0.9122366
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0.88599694
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0.87897456
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0.87363815
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0.8709091
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0.8687893
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0.86647344
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0.8659639
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