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Document type:
Masterarbeit
Author(s):
Kraus, Julia
Title:
Option Pricing using the Sparse Grid Combination Technique
Abstract:
Option pricing problems are characterized by multidimensional second-order parabolic partial differential equations that in general do not possess an analytical solution. Conventional PDE solvers on full grids need O(2^nd) grid points to provide a solution of accuracy O(2^-np), where d is the dimensionality of the problem, 2^-n the mesh size and p the accuracy of the underlying discretization scheme. In contrast, in the context of elliptical PDEs the sparse grid combination technique has been pr...     »
Advisor:
Prof. Dr. Forsyth (Universität Waterloo, Kanada)
Referee:
Prof. Dr. Rudi Zagst
Year:
2006
Language:
en
Notes:
Elitestudiengang FIM
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
Format:
Text
 BibTeX