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Reduced basis for vanilla and basket options

Reduced basis for vanilla and basket options In SIAM J. Finan. Math. 2 (2011), 287–316, it was shown that by writing the solution of the Black–Scholes partial differential equation on a small set of basis functions the computing time can be dramatically reduced. In this study we explore the generalization of the technique to basket options. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Risk and Decision Analysis iospress

Reduced basis for vanilla and basket options

Risk and Decision Analysis , Volume 2 (4) – Jan 1, 2011

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Publisher
IOS Press
Copyright
Copyright © 2011 by IOS Press, Inc
ISSN
1569-7371
eISSN
1875-9173
DOI
10.3233/RDA-2011-0045
Publisher site
See Article on Publisher Site

Abstract

In SIAM J. Finan. Math. 2 (2011), 287–316, it was shown that by writing the solution of the Black–Scholes partial differential equation on a small set of basis functions the computing time can be dramatically reduced. In this study we explore the generalization of the technique to basket options.

Journal

Risk and Decision Analysisiospress

Published: Jan 1, 2011

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