Falcó, Antonio; Chinesta, Francisco; González, Mariano - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2006
In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one–dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier...
