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

PDF
346kB 
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 stateoftheart methods is highlighted.
Item Type:  Article 

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:  29 May 2015 18:18 
Repository Staff Only: item control page