Pages that link to "Item:Q5292052"
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The following pages link to Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences (Q5292052):
Displaying 11 items.
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
- Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418) (← links)
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) (← links)
- A highly parallel Black–Scholes solver based on adaptive sparse grids (Q4903544) (← links)
- AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983) (← links)
- (Q5862234) (← links)
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options (Q6049303) (← links)
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (Q6090285) (← links)
- On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (Q6104881) (← links)
- Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (Q6157931) (← links)
- Sparse grid-based adaptive noise reduction strategy for particle-in-cell schemes (Q6186265) (← links)
