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
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.