Reduced Models for Sparse Grid Discretizations of the Multi-Asset Black-Scholes Equation

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Title:: Reduced Models for Sparse Grid Discretizations of the Multi-Asset Black-Scholes Equation
Author(s):: Peherstorfer, Benjamin; Gomez, Pablo; Bungartz, Hans-Joachim
Keywords:: MAC Cluster
Journal title:: Advances in Computational Mathematics
Year:: 2015
Month:: Apr
Publisher:: Springer
Notes:: mediatitle: Advances in Computational Mathematics
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