Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641880 | Journal of Computational and Applied Mathematics | 2008 | 17 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
C.C.W. Leentvaar, C.W. Oosterlee,