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Title:: A Highly Efficient Approach for Higher-Dimensional Option Pricing Problems Based on Adaptive Sparse Grids
Author(s):: Schraufstetter, Stefanie
Publisher address:: Sydney
Year:: 2012
Journal title:: Bachelier World Congress
Month:: Jun
Notes:: mediatitle: Bachelier World Congress
address: Sydney
TUM Institution:: Institut für Informatik, Technische Universität München
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A Highly Efficient Approach for Higher-Dimensional Option Pricing Problems Based on Adaptive Sparse Grids