Proper Orthogonal Decomposition in Option Pricing
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Publication:4626517
DOI10.1007/978-3-319-61282-9_24zbMath1420.91522OpenAlexW2755329194MaRDI QIDQ4626517
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Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_24
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Application of Operator Splitting Methods in Finance
- Approximation of Large-Scale Dynamical Systems