LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

DOI10.1111/j.1467-9965.2005.00254.xzbMath1107.91049arXivmath/0212251MaRDI QIDQ5700135

Vladislav Kargin

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0212251

zbMATH Keywords

sparse grid; curse of dimensionality; rainbow options; relaxed greedy algorithm

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

Uses Software

• ElemStatLearn

Cites Work

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