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

2008-09-01

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
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	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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