Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
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
Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
Related Items (2)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Option pricing with a direct adaptive sparse grid approach
- Sparse grid quadrature in high dimensions with applications in finance and insurance
- Dimension-wise integration of high-dimensional functions with applications to finance
- Calibration of options on a reduced basis
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- Dimension-adaptive tensor-product quadrature
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Hierarchical bases give conjugate gradient type methods a multigrid speed of convergence
- Principal component analysis.
- A note on the complexity of solving Poisson's equation for spaces of bounded mixed derivatives
- Space-time adaptive finite difference method for European multi-asset options
- Far Field Boundary Conditions for Black--Scholes Equations
- A Reduced Basis Method for the Simulation of American Options
- Nonlinear model order reduction based on local reduced-order bases
- A Reduced Basis for Option Pricing
- Reduced basis for vanilla and basket options
- Multilevel Monte Carlo Path Simulation
- Selected Recent Applications of Sparse Grids
- Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
- Model Reduction for Large-Scale Systems with High-Dimensional Parametric Input Space
- Turbulence and the dynamics of coherent structures. I. Coherent structures
- Certified real‐time solution of the parametrized steady incompressible Navier–Stokes equations: rigorous reduced‐basis a posteriori error bounds
- A highly parallel Black–Scholes solver based on adaptive sparse grids
- Analysis of linear difference schemes in the sparse grid combination technique
- Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- Convergence Rates of the POD–Greedy Method
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Efficient greedy algorithms for high-dimensional parameter spaces with applications to empirical interpolation and reduced basis methods
- Localized Discrete Empirical Interpolation Method
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- A highly accurate adaptive finite difference solver for the Black–Scholes equation
This page was built for publication: Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation