A General Pricing Technique Based on Theta-Calculus and Sparse Grids

DOI10.1007/978-3-642-11795-4_85zbMath1213.91165OpenAlexW2158086823MaRDI QIDQ3000198

Janos Benk, Stefanie Schraufstetter

Publication date: 18 May 2011

Published in: Numerical Mathematics and Advanced Applications 2009 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-11795-4_85

zbMATH Keywords

ThetaML

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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