A General Pricing Technique Based on Theta-Calculus and Sparse Grids
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Publication:3000198
DOI10.1007/978-3-642-11795-4_85zbMath1213.91165MaRDI 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
91G60: Numerical methods (including Monte Carlo methods)
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