Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

DOI10.1007/978-3-540-34288-5_97zbMath1278.91181MaRDI QIDQ5292052

C. C. W. Leentvaar, Cornelis W. Oosterlee

Publication date: 19 June 2007

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

Full work available at URL: https://doi.org/10.1007/978-3-540-34288-5_97

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65N06: Finite difference methods for boundary value problems involving PDEs

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