Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

DOI10.1007/978-3-540-34288-5_97zbMath1278.91181OpenAlexW130696160MaRDI QIDQ5292052

C. C. W. Leentvaar, Cornelis W. Oosterlee

Publication date: 19 June 2007

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-34288-5_97

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

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Unnamed Item ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs ⋮ Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk ⋮ Sparse grid-based adaptive noise reduction strategy for particle-in-cell schemes ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

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