Higher-order interpolated lattice schemes for multidimensional option pricing problems-Reference-Cited by-同舟云学术

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Higher-order interpolated lattice schemes for multidimensional option pricing problems

Published:2014-01 Issue: Volume:255 Page:313-333
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Tanaka Hideyuki

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference35 articles.

1. Tools for Computational Finance;Seydel,2002

2. Numerical Partial Differential Equations: Finite Difference Methods;Thomas,1995

3. Method of lines;Hamdi;Scholarpedia,2007

4. Option valuation using the fast fourier transform;Carr;J. Comput. Finance,1998

5. Sparse grids;Bungartz;Acta Numer.,2004

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An operator splitting method for multi-asset options with the Feynman-Kac formula;Computers & Mathematics with Applications;2023-04

2. A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing;Quantitative Finance;2018-02-26

3. An Efficient Second Order Discretization Using Smart Malliavin Weight and Quasi Monte Carlo Method for Option Pricing;SSRN Electronic Journal;2017

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