On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093)
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scientific article; zbMATH DE number 5362094
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On coordinate transformation and grid stretching for sparse grid pricing of basket options |
scientific article; zbMATH DE number 5362094 |
Statements
On coordinate transformation and grid stretching for sparse grid pricing of basket options (English)
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6 November 2008
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option pricing
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multi-asset options
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sparse grids
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coordinate transformation
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