On coordinate transformation and grid stretching for sparse grid pricing of basket options

Journal of Computational and Applied Mathematics

Volumn 222, Issue 1, 2008, Pages 193-209

  Leentvaar, C C W ^a   Oosterlee, C W ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Coordinate transformation; Multi asset options; Option pricing; Sparse grids

Indexed keywords

DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); PARTIAL DIFFERENTIAL EQUATIONS;

COORDINATE TRANSFORMATION; HIGH-DIMENSIONAL; HYPER CUBES; MULTI-ASSET OPTIONS; OPTION PRICING; PARTIAL DIFFERENTIAL; SPARSE GRIDS; SUB GRIDS;

DIFFERENCE EQUATIONS;

EID: 52949103001     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2007.10.015     Document Type: Article

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