Option pricing with a direct adaptive sparse grid approach

DOI10.1016/j.cam.2011.09.024zbMath1242.91184OpenAlexW1973141700MaRDI QIDQ432809

Hans-Joachim Bungartz, Stefanie Schraufstetter, Alexander Heinecke, Dirk Pflüger

Publication date: 4 July 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.09.024

zbMATH Keywords

finite elementsoption pricingadaptivitysparse gridsBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A Sparse Interpolation Algorithm for Dynamical Simulations in Computational Chemistry ⋮ PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS ⋮ Numerical solution of generalized Black-Scholes model ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Krylov implicit integration factor discontinuous Galerkin methods on sparse grids for high dimensional reaction-diffusion equations ⋮ Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models ⋮ DGM: a deep learning algorithm for solving partial differential equations ⋮ Chebyshev reduced basis function applied to option valuation ⋮ Fast sparse grid operations using the unidirectional principle: a generalized and unified framework

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• A highly accurate adaptive finite difference solver for the Black–Scholes equation

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