Additional Metadata
Keywords basket options, multi-D PDEs
MSC Iterative methods for linear systems (msc 65F10), Applications to actuarial sciences and financial mathematics (msc 62P05), Computer aspects of numerical algorithms (msc 65Yxx)
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher Elsevier
Journal Journal of Computational and Applied Mathematics
Citation
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.