Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/140981216
Reference31 articles.
1. The Pricing of Options and Corporate Liabilities
2. Stability of the SUPG finite element method for transient advection–diffusion problems
3. A prioriconvergence of the Greedy algorithm for the parametrized reduced basis method
4. A Reduced Basis for Option Pricing
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