A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Antonia Mayerhofer and Karsten Urban
| Year of publication: |
April 2017
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|---|---|
| Authors: | Mayerhofer, Antonia Christine ; Urban, Karsten |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 4, p. 71-106
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| Subject: | option pricing | parabolic problems | reduced basis method (RBM) | error estimates | Heston model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.323 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691633