Search Results - subject:"adaptive sparse grids"

Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids

Schober, Peter; Valentin, Julian; Pflüger, Dirk - In: Computational economics 59 (2022) 1, pp. 185-224

Persistent link: https://www.econbiz.de/10013168972

Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids

Schober, Peter; Valentin, Julian; Pflüger, Dirk - In: Computational Economics 59 (2021) 1, pp. 185-224

Discrete time dynamic programming to solve dynamic portfolio choice models has three immanent issues: firstly, the curse of dimensionality prohibits more than a handful of continuous states. Secondly, in higher dimensions, even regular sparse grid discretizations need too many grid points for...

Persistent link: https://www.econbiz.de/10014501304

Pricing American options under high-dimensional models with recursive adaptive sparse expectations

Scheidegger, Simon; Treccani, Adrien - In: Journal of financial econometrics 19 (2021) 2, pp. 258-290

Persistent link: https://www.econbiz.de/10012620053

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473

Persistent link: https://www.econbiz.de/10012295614

Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique

Benk, Janos; Pflüger, Dirk - In: The journal of computational finance 21 (2017/2018) 3, pp. 75-104

Persistent link: https://www.econbiz.de/10011848349

Using adaptive sparse grids to solve high-dimensional dynamic models

Brumm, Johannes; Scheidegger, Simon - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1575-1612

Persistent link: https://www.econbiz.de/10011791595