Reisinger, Christoph and Wittum, Gabriel (2005) *Efficient hierarchical approximation of high-dimensional option pricing problems.* SIAM Journal on Scientific Computing . (Submitted)

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## Abstract

A major challenge in computational finance is the pricing of options that depend on a large number of risk factors. Prominent examples are basket or index options where dozens or even hundreds of stocks constitute the underlying asset and determine the dimensionality of the corresponding degenerate parabolic equation. The objective of this article is to show how an efficient discretisation can be achieved by hierarchical approximation as well as asymptotic expansions of the underlying continuous problem. The relation to a number of state-of-the-art methods is highlighted.

Item Type: | Article |
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Subjects: | O - Z > Partial differential equations H - N > Numerical analysis |

Research Groups: | Oxford Centre for Industrial and Applied Mathematics Mathematical and Computational Finance Group |

ID Code: | 242 |

Deposited By: | Christoph Reisinger |

Deposited On: | 30 Jun 2006 |

Last Modified: | 20 Jul 2009 14:19 |

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