Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
From MaRDI portal
(Redirected from Publication:5444261)
Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Method of lines for boundary value problems involving PDEs (65N40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- scientific article; zbMATH DE number 2134189
- High order combination technique for the efficient pricing of basket options
Cited in
(45)- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
- DGM: a deep learning algorithm for solving partial differential equations
- Explainable neural network for pricing and universal static hedging of contingent claims
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- High-order computational methods for option valuation under multifactor models
- A sparse-grid isogeometric solver
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
- Momentum-space approach to asymptotic expansion for stochastic filtering
- Active learning based sampling for high-dimensional nonlinear partial differential equations
- A mixed derivative terms removing method in multi-asset option pricing problems
- scientific article; zbMATH DE number 2134189 (Why is no real title available?)
- A comparative study on time-efficient methods to price compound options in the Heston model
- Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
- Low-rank tensor structure of linear diffusion operators in the TT and QTT formats
- Option pricing with a direct adaptive sparse grid approach
- Efficient exposure computation by risk factor decomposition
- Numerical analysis of novel finite difference methods
- Multiscale methods for the valuation of American options with stochastic volatility
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- On the construction of sparse tensor product spaces
- Pricing American options by exercise rate optimization
- A local radial basis function method for high-dimensional American option pricing problems
- Numerical valuation of Bermudan basket options via partial differential equations
- Stochastic grid bundling method for backward stochastic differential equations
- Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
- P1–Nonconforming Polyhedral Finite Elements in High Dimensions
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- American-type basket option pricing: a simple two-dimensional partial differential equation
- Valuation of structured financial products by adaptive multiwavelet methods in high dimensions
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- A multigrid preconditioner for an adaptive Black-Scholes solver
- Parallel processing of the building-cube method on a GPU platform
- Laplace transformation method for the Black-Scholes equation
- Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- A difference finite element method based on the conforming P₁(x,y) Q₁(z,s) element for the 4D Poisson equation
- A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
- On sparse grid interpolation for American option pricing with multiple underlying assets
- Scalable global solution techniques for high-dimensional models in Dynare
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Numerical methods for Lévy processes
- The early exercise region for Bermudan options on two underlyings
This page was built for publication: Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5444261)
