Calibration of options on a reduced basis

Journal of Computational and Applied Mathematics

Volumn 232, Issue 1, 2009, Pages 139-147

  Pironneau, Olivier ^a  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

Author keywords

Mathematical finance; Option pricing; Proper Orhogonal decomposition; Reduced basis method

Indexed keywords

APRIORI; BASIS FUNCTIONS; BLACK SCHOLES EQUATIONS; CONVERGENCE THEORY; CONVEX COMBINATIONS; ELLIPTIC PARTIAL DIFFERENTIAL EQUATION; FINANCIAL ENGINEERING; LINEAR COMBINATIONS; MATHEMATICAL FINANCE; NUMERICAL INVESTIGATIONS; OPTION PRICING; PROPER ORHOGONAL DECOMPOSITION; REDUCED BASIS; REDUCED BASIS METHOD; REDUCED-BASIS APPROXIMATION;

CALIBRATION; CONTACTS (FLUID MECHANICS); FLUID MECHANICS; MODELS; PARTIAL DIFFERENTIAL EQUATIONS;

NAVIER STOKES EQUATIONS;

EID: 67949115838     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2008.10.070     Document Type: Article

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