Dimension-wise integration of high-dimensional functions with applications to finance

DOI10.1016/j.jco.2010.06.001zbMath1203.65056OpenAlexW2002274796MaRDI QIDQ708311

Publication date: 11 October 2010

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2010.06.001

zbMATH Keywords

numerical integration numerical experiments sparse grids finance ANOVA decomposition Asian option analysis of variance quadrature rules effective dimension

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

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