Higher-order interpolated lattice schemes for multidimensional option pricing problems
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Publication:2252708
DOI10.1016/j.cam.2013.05.016zbMath1291.91237OpenAlexW2019400187MaRDI QIDQ2252708
Publication date: 23 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.05.016
weak approximationcubature formulamultidimensional latticesparse grid interpolationsparse matrix formulation
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
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