Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258)
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scientific article; zbMATH DE number 6529425
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| English | Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation |
scientific article; zbMATH DE number 6529425 |
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Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (English)
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13 January 2016
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option pricing
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proper orthogonal decomposition
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sparse grids
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Black-Scholes equation
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0.8364376425743103
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0.8015944957733154
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0.7999251484870911
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0.7931512594223022
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0.7851258516311646
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