期刊论文详细信息
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 卷:222 |
On coordinate transformation and grid stretching for sparse grid pricing of basket options | |
Article | |
Leentvaar, C. C. W.1  Oosterlee, C. W.1  | |
[1] Delft Univ Technol, Delft Inst Appl Math, NL-2628 CD Delft, Netherlands | |
关键词: Option pricing; Multi-asset options; Sparse grids; Coordinate transformation; | |
DOI : 10.1016/j.cam.2007.10.015 | |
来源: Elsevier | |
【 摘 要 】
We evaluate two coordinate transformation techniques in combination with grid stretching for pricing basket options in a sparse grid setting. The sparse grid technique is a basic technique for solving a high-dimensional partial differential equation. By creating a small hypercube sub-grid in the 'composite' sparse grid we can also determine hedge parameters accurately. We evaluate these techniques for multi-asset examples with up to five underlying assets in the basket. (C) 2007 Elsevier B.V. All rights reserved.
【 授权许可】
Free
【 预 览 】
Files | Size | Format | View |
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10_1016_j_cam_2007_10_015.pdf | 665KB | download |