Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options
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Publication:4561939
DOI10.1007/978-3-319-02069-3_15zbMath1418.91518OpenAlexW101377108MaRDI QIDQ4561939
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_15
dimension reductionproper orthogonal decompositionAsian optionpartial integro-differential equationHilbert space valued jump-diffusion
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Cites Work
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