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Publication:3159350
zbMath1103.65127MaRDI QIDQ3159350
Publication date: 15 February 2005
Full work available at URL: http://www.ub.uni-heidelberg.de/archiv/4954
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sparse gridsAmerican optionsdiscretization schemesrobust multigrid methodsBlack-Scholes price of large basket options: derivative pricing
Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Derivative securities (option pricing, hedging, etc.) (91G20)
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