Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Year of publication: |
December 2017
|
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Authors: | Benk, Janos ; Pflüger, Dirk |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 3, p. 75-104
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Subject: | dimensional-adaptive sparse grids | combination technique | Black-Scholes partial differential equation (BS-PDE) | Heston model | multigrid | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis |
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