Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Janos Benk and Dirk Pflüger
| Year of publication: |
December 2017
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|---|---|
| Authors: | Benk, Janos ; Pflüger, Dirk |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 3, p. 75-104
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| Subject: | dimensional-adaptive sparse grids | combination technique | Black-Scholes partial differential equation (BS-PDE) | Heston model | multigrid | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2017.335 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848349