"Option pricing with a direct adaptive sparse grid approach."

Hans-Joachim Bungartz et al. (2012)

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DOI: 10.1016/J.CAM.2011.09.024

access: open

type: Journal Article

metadata version: 2021-02-16

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  - https://dblp.org/rec/journals/jcam/BungartzHPS12
Hans-Joachim Bungartz, Alexander Heinecke, Dirk Pflüger, Stefanie Schraufstetter:
Option pricing with a direct adaptive sparse grid approach. J. Comput. Appl. Math. 236(15): 3741-3750 (2012)

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