scientific article; zbMATH DE number 6260300

zbMath1282.49022MaRDI QIDQ5397343

Matthias Schu, Ekkehard W. Sachs

Publication date: 20 February 2014

Full work available at URL: http://pldml.icm.edu.pl/pldml/element/bwmeta1.element.bwnjournal-article-ccv39i3p661bwm?q=bwmeta1.element.bwnjournal-number-cc-2010-39-3%3b5&qt=CHILDREN-STATELESS

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingproper orthogonal decompositiontrust region methodjump diffusion modelsPIDE constrained optimization

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Decomposition methods (49M27)

Related Items (4)

Chebyshev interpolation for parametric option pricing ⋮ Adaptive Trust-Region POD Methods in PIDE-Constrained Optimization ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ Variational multiscale proper orthogonal decomposition: Convection-dominated convection-diffusion-reaction equations

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