On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets

arXiv2309.08287MaRDI QIDQ6451278

Guanglian Li, Jiefei Yang

Publication date: 15 September 2023

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical approximation of high-dimensional functions; sparse grids (65D40)

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