Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Year of publication: |
June 2015
|
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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
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Subject: | derivatives pricing | high-dimensional PDEs | ANOVA | Bermudan swaptions | LIBOR market model | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Swap | Analysis | Mathematical analysis |
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