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
PDF
【 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 】
附件列表
Files Size Format View
10_1016_j_cam_2007_10_015.pdf 665KB PDF download
  文献评价指标  
  下载次数:1次 浏览次数:0次