"Reduced models for sparse grid discretizations of the multi-asset ..."

Benjamin Peherstorfer, Pablo Gómez, Hans-Joachim Bungartz (2015)

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DOI: 10.1007/S10444-015-9421-4

access: closed

type: Journal Article

metadata version: 2017-06-15

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Benjamin Peherstorfer, Pablo Gómez, Hans-Joachim Bungartz:
Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation. Adv. Comput. Math. 41(5): 1365-1389 (2015)

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