On coordinate transformation and grid stretching for sparse grid pricing of basket options-Reference-Cited by-同舟云学术

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

Published:2008-12 Issue:1 Volume:222 Page:193-209
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Leentvaar C.C.W.,Oosterlee C.W.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference21 articles.

1. Adaptive Control Processes; A Guided Tour;Bellman,1961

2. Arbitrage Theory in Continuous Time;Björk,1998

3. Sparse Grids;Bungartz;Acta Numerica,2004

4. Pointwise convergence of the combination technique for the Laplace equation;Bungartz;East-West Journal of Numerical Mathematics,1994

5. Multigrid for American option pricing with stochastic volatility;Clarke;Applied Mathematical Finance,1999

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3. AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models;SIAM Journal on Scientific Computing;2021-01

4. A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions;Applied Mathematics and Computation;2020-12

5. Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions;International Journal of Computer Mathematics;2019-01-16

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