Efficient hierarchical approximation of high-dimensional option pricing problems

SIAM Journal on Scientific Computing

Volumn 29, Issue 1, 2007, Pages 440-458

  Reisinger, Christoph ^a   Wittum, Gabriel ^b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Asymptotic expansions; Dimension reduction; Multigrid methods; Option pricing; Sparse grids

Indexed keywords

ASYMPTOTIC ANALYSIS; PROBLEM SOLVING;

ASYMPTOTIC EXPANSIONS; DIMENSION REDUCTION; MULTIGRID METHODS; OPTION PRICING; SPARSE GRIDS;

COSTS;

EID: 39449130178     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/060649616     Document Type: Article

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