Smoothing the payoff for efficient computation of Basket option prices (Q4554434)
From MaRDI portal
scientific article; zbMATH DE number 6979474
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smoothing the payoff for efficient computation of Basket option prices |
scientific article; zbMATH DE number 6979474 |
Statements
Smoothing the payoff for efficient computation of Basket option prices (English)
0 references
14 November 2018
0 references
computational finance
0 references
European option pricing
0 references
multivariate approximation and integration
0 references
sparse grids
0 references
stochastic collocation methods
0 references
Monte Carlo and quasi Monte Carlo methods
0 references
0 references
0 references
0 references
0 references
