A Reduced Basis Method for the Simulation of American Options
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Publication:2838569
DOI10.1007/978-3-642-33134-3_85zbMath1269.91086arXiv1201.3289OpenAlexW1909146625MaRDI QIDQ2838569
Julien Salomon, Bernard Haasdonk, Barbara I. Wohlmuth
Publication date: 10 July 2013
Published in: Numerical Mathematics and Advanced Applications 2011 (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.3289
American optionsreduced basis methodtime-dependent variational inequalityreduced spacesangle-greedy procedurePOD-greedy procedure
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