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Search: subject:"sparse grids"
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Option pricing theory
4
Optionspreistheorie
4
Sparse grids
4
Stochastic process
4
Stochastischer Prozess
4
Computer network
3
Computernetz
3
Estimation theory
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Schätztheorie
3
Adaptive sparse grids
2
Black-Scholes model
2
Black-Scholes-Modell
2
Curse of dimensionality
2
Discrete time dynamic programming
2
Dynamic portfolio choice
2
GHK simulator
2
Gradient-based optimization
2
Hierarchical B-splines
2
Monte Carlo
2
Multivariate probit model
2
Multivariate quadrature-based approaches
2
Option trading
2
Optionsgeschäft
2
Simulation
2
Simulation approaches
2
Sparse grids integration
2
Spatially adaptive sparse grids
2
Volatility
2
Volatilität
2
high-performance computing
2
option pricing
2
Adjustment costs
1
Analysis
1
Anpassungskosten
1
Autocorrelation
1
Autokorrelation
1
Autoregressive
1
Black-Scholes partial differential equation (BS-PDE)
1
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9
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English
10
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Pflüger, Dirk
3
Abay, Kibrom A.
2
Bayer, Christian
2
Scheidegger, Simon
2
Schober, Peter
2
Valentin, Julian
2
Ben Hammouda, Chiheb
1
Benk, Janos
1
Brumm, Johannes
1
Bungartz, H.
1
Gordon, Grey
1
Griebel, M.
1
Madaras, Szilárd
1
Mertens, Thomas
1
Röschke, D.
1
Siebenmorgen, Markus
1
Sándor, Zsolt
1
Tempone, Raul
1
Tempone, Raúl
1
Treccani, Adrien
1
Zenger, C.
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Economics letters
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics Letters
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Journal of financial econometrics
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Mathematics and Computers in Simulation (MATCOM)
1
The journal of computational finance
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ECONIS (ZBW)
9
RePEc
3
EconStor
1
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1
A reassessment of likelihood approximation by integration on
sparse
grids
Madaras, Szilárd
;
Sándor, Zsolt
-
2025
Persistent link: https://www.econbiz.de/10015372750
Saved in:
2
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
Saved in:
3
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
using hierarchical B-splines on
sparse
grids
. When compared to the standard linear bases on
sparse
grids
or finite …
Persistent link: https://www.econbiz.de/10014501304
Saved in:
4
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
Saved in:
5
Efficient VAR discretization
Gordon, Grey
- In:
Economics letters
204
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012607567
Saved in:
6
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
Saved in:
7
Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian
;
Siebenmorgen, Markus
;
Tempone, Raul
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Evaluating simulation-based approaches and multivariate quadrature on
sparse
grids
in estimating multivariate binary probit models
Abay, Kibrom A.
- In:
Economics Letters
126
(
2015
)
C
,
pp. 51-56
This paper evaluates the performance of a recently emerging multivariate quadrature-based
Sparse
Grids
Integration (SGI …
Persistent link: https://www.econbiz.de/10011189521
Saved in:
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