An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093)
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scientific article; zbMATH DE number 7409161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model |
scientific article; zbMATH DE number 7409161 |
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An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (English)
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12 October 2021
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sparse grid
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combination technique
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American options
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ADI
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Heston model
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