Reduced basis for vanilla and basket options

DOI10.3233/RDA-2011-0045zbMath1409.91280OpenAlexW1688631392MaRDI QIDQ3119587

Olivier Pironneau

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0045

zbMATH Keywords

option pricingreduced basisGalerkin basis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (5)

A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates ⋮ Chebyshev interpolation for parametric option pricing ⋮ Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing

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