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- Document type:
- Master's thesis
- Author(s):
- Maurus, Sam
- Title:
- A Multi-Dimensional PDE Solver for Option Pricing Based on the Heston Model and Sparse Grids
- Advisor:
- Schraufstetter, Stefanie; Heinecke, Alexander
- Referee:
- Bungartz, Hans-Joachim; Huckle, Thomas
- Year:
- 2012
- Month:
- Aug
- WWW:
- http://www5.in.tum.de/pub/maurus_ma12.pdf
- Notes:
- betreuer: Schraufstetter, Stefanie; Heinecke, Alexander
URL: http://www5.in.tum.de/pub/maurus_ma12.pdf
pruefer: Bungartz, Hans-Joachim; Huckle, Thomas - TUM Institution:
- Institut für Informatik, Technische Universität München
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