Search Results - subject:"stochastic grid bundling method"

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

GRAAF, CORNELIS S. L. DE; FENG, QIAN; KANDHAI, DRONA; … - In: International Journal of Theoretical and Applied … 17 (2014) 04, pp. 1450024-1

-based Stochastic Grid Bundling Method (SGBM), or by the COS method, based on Fourier-cosine expansions. In this research, numerical …

Persistent link: https://www.econbiz.de/10010785483

Graaf, Cornelis S. L. de; Feng, Qian; Kandhai, Drona; … - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10010391508