Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)

By Yves Achdou, Olivier Pironneau. 2005

354 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e70220264de91fec31b274d82ea35d40acc31031

How researchers see this paper

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In Finance

1. Samuli Ikonen
2. Jari Toivanen
3. Shan Chen
4. M. Insley

Citations in the corpus

• Efficient numerical methods for pricing American options under stochastic volatility (2008, methodology): “For option pricing this approach has been considered in [1], [10], [17], for example.”
• Non incremental strategies based on separated representations: applications in computational rheology (2010, background): “However, as argued in [1], the use of sparse grids is restricted to models with moderate multidimensionality (up to 20).”