Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time
DOI10.1007/978-3-319-39929-4_58zbMath1414.91417OpenAlexW2552246962MaRDI QIDQ3179707
Mats Wångersjö, Lina von Sydow, Paria Ghafari, Erik Lehto
Publication date: 19 December 2016
Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-39929-4_58
dimension reductionpricingadaptive finite differencesdiscontinuous Galerkin in timeEuropean basket options
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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