On coordinate transformation and grid stretching for sparse grid pricing of basket options

DOI10.1016/j.cam.2007.10.015zbMath1152.91529OpenAlexW2157899933MaRDI QIDQ952093

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

Publication date: 6 November 2008

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.2007.10.015

zbMATH Keywords

option pricingsparse gridscoordinate transformationmulti-asset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (14)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations ⋮ Semi-implicit integration factor methods on sparse grids for high-dimensional systems ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Unnamed Item ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Option pricing with a direct adaptive sparse grid approach ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ On the construction of sparse tensor product spaces ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems

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• Far Field Boundary Conditions for Black--Scholes Equations
• Multigrid for American option pricing with stochastic volatility
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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