Option pricing with a direct adaptive sparse grid approach

Published 2011 View Full Article

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Title
Option pricing with a direct adaptive sparse grid approach
Authors
Keywords
-
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 236, Issue 15, Pages 3741-3750
Publisher
Elsevier BV
Online
2011-10-02
DOI
10.1016/j.cam.2011.09.024

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