Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation

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Publication:904258

DOI10.1007/s10444-015-9421-4zbMath1336.91086OpenAlexW611136723MaRDI QIDQ904258

Hans-Joachim Bungartz, Benjamin Peherstorfer, Pablo Gomez

Publication date: 13 January 2016

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/107122




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