Complexity reduction for calibration to American options
Olena Burkovska, Kathrin Glau, Mirco Mahlstedt and Barbara Wohlmuth
| Year of publication: |
2019
|
|---|---|
| Authors: | Burkovska, Olena ; Glau, Kathrin ; Mahlstedt, Mirco ; Wohlmuth, Barbara |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 1, p. 25-60
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| Subject: | reduced basis method (RBM) | model reduction | American option | calibration | Heston model | de-Americanization | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.367 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012064981