Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Christoph Reisinger and Rasmus Wissmann
| Year of publication: |
June 2015
|
|---|---|
| Authors: | Reisinger, Christoph ; Wissmann, Rasmus |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/2015, 4, p. 95-127
|
| Subject: | derivatives pricing | high-dimensional PDEs | ANOVA | Bermudan swaptions | LIBOR market model | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Swap | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441267