Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

DOI10.1007/978-3-540-34288-5_97MaRDI QIDQ5292052zbMATH OpenOpenAlexFDO

Authors C. C. W. Leentvaar, Cornelis W. Oosterlee

Publication date 19 June 2007

Published in Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-34288-5_97

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(21)

• Optimal non-uniform finite difference grids for the Black-Scholes equations
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• Multigrid method for pricing European options under the CGMY process
• Space-time adaptive finite difference method for European multi-asset options
• Variants of the combination technique for multi-dimensional option pricing
• High order combination technique for the efficient pricing of basket options
• A general pricing technique based on theta-calculus and sparse grids
• Option pricing with a direct adaptive sparse grid approach
• A highly parallel Black--Scholes solver based on adaptive sparse grids
• scientific article; zbMATH DE number 7569345 (Why is no real title available?)
• AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
• Laplace transformation method for the Black-Scholes equation
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
• On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
• Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk
• Sparse grid-based adaptive noise reduction strategy for particle-in-cell schemes
• Sparse-grid discontinuous Galerkin methods for the Vlasov-Poisson-Lenard-Bernstein model
• Adaptive Sparse-grid Discontinuous Galerkin Approximations the Bhatnagar--Gross--Krook Model
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
• On coordinate transformation and grid stretching for sparse grid pricing of basket options

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