Variants of the combination technique for multi-dimensional option pricing

DOI10.1007/978-3-642-25100-9_27MaRDI QIDQ2905434zbMATH OpenOpenAlexFDO

Authors Janos Benk, Hans-Joachim Bungartz, Aliz-Eva Nagy, Stefanie Schraufstetter

Publication date 27 August 2012

Published in Mathematics in Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25100-9_27

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(9)

• Higher-order interpolated lattice schemes for multidimensional option pricing problems
• High order combination technique for the efficient pricing of basket options
• A general pricing technique based on theta-calculus and sparse grids
• Option pricing with a direct adaptive sparse grid approach
• A local radial basis function method for high-dimensional American option pricing problems
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model
• Sparse grid-based adaptive noise reduction strategy for particle-in-cell schemes
• On coordinate transformation and grid stretching for sparse grid pricing of basket options

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