Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
This work presents reduced models for pricing basket options with the Black-Scholes and the Heston model. Basket options lead to multi-dimensional partial differential equations (PDEs) that quickly become computationally infeasible to discretize on full tensor grids. We therefore rely on sparse grid...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Springer US
2017
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| Online Access: | http://hdl.handle.net/1721.1/107122 https://orcid.org/0000-0002-5045-046X |