Search Results - subject:"combination technique"

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

The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach

Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2009

A compound option (the mother option) gives the holder the right, but not obligation to buy (long) or sell (short) the underlying option (the daughter option). In this paper, we demonstrate a partial differential equation (PDE) approach to pricing American-type compound options where the...

Persistent link: https://www.econbiz.de/10004984506

A proof of convergence for the combination technique for the Laplace equation using tools of symbolic computation

Bungartz, H.; Griebel, M.; Röschke, D.; Zenger, C. - In: Mathematics and Computers in Simulation (MATCOM) 42 (1996) 4, pp. 595-605

-called combination technique, a modern, efficient and easily parallelizable sparse grid solver for elliptic partial differential …(x) ϵC2[0, 1]. In this paper, we show that the error of the solution produced by the combination technique on a sparse grid …

Persistent link: https://www.econbiz.de/10011050597