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

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

C.C.W. Leentvaar2007

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Articlebronze2007

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

C.C.W. Leentvaar · Cornelis W. Oosterlee

51 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Mathematical functions and polynomials Mathematical Approximation and Integration

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References

2000Far Field Boundary Conditions for Black--Scholes Equations 1999Multigrid for American option pricing with stochastic volatility 2004Analysis of the stability of the linear boundary condition for the Black–Scholes equation

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2008Multi-asset option pricing using a parallel Fourier-based technique 2012Finite-Element Methods

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2007Efficient numerical methods for pricing American options under stochastic volatilityarticle · 2 shared references 2005Pricing methods and hedging strategies for volatility derivativesarticle · 2 shared references 2007Numerical solution of two asset jump diffusion models for option valuationarticle · 2 shared references 2012High-order compact finite difference scheme for option pricing in stochastic volatility modelsarticle · 2 shared references 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONSarticle · 2 shared references 2008An Artificial Boundary Method for American Option Pricing under the CEV Modelarticle · 2 shared references

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Year2007

Typearticle

Published2007-10-31

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2007.10.015

openalex_workW1542258963

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