2008-09-01
On coordinate transformation and grid stretching for sparse grid pricing of basket options
Publication
Publication
Journal of Computational and Applied Mathematics , Volume 222 p. 193- 209
Additional Metadata | |
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basket options, multi-D PDEs | |
Iterative methods for linear systems (msc 65F10), Applications to actuarial sciences and financial mathematics (msc 62P05), Computer aspects of numerical algorithms (msc 65Yxx) | |
Life Sciences (theme 5), Energy (theme 4) | |
Elsevier | |
Journal of Computational and Applied Mathematics | |
Organisation | Scientific Computing |
Leentvaar, C.C.W, & Oosterlee, C.W. (2008). On coordinate transformation and grid stretching for sparse grid pricing of basket options. Journal of Computational and Applied Mathematics, 222, 193–209.
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