Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

DOI10.1137/060649616zbMath1151.91536OpenAlexW2077681241MaRDI QIDQ5444261

Publication date: 25 February 2008

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060649616

zbMATH Keywords

option pricing dimension reduction sparse grids asymptotic expansions multigrid methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) Method of lines for boundary value problems involving PDEs (65N40)

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