Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
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Publication:5292052
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
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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