Option pricing with a direct adaptive sparse grid approach

Journal of Computational and Applied Mathematics

Volumn 236, Issue 15, 2012, Pages 3741-3750

  Bungartz, Hans Joachim ^a   Heinecke, Alexander ^a   Pflüger, Dirk ^a   Schraufstetter, Stefanie ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Adaptivity; Black Scholes equation; Finite elements; Option pricing; Sparse grids

Indexed keywords

ADAPTIVITY; BLACK SCHOLES EQUATIONS; FINITE ELEMENT; OPTION PRICING; SPARSE GRID;

FINITE ELEMENT METHOD;

ADAPTIVE ALGORITHMS;

EID: 84861530604     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2011.09.024     Document Type: Conference Paper

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