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Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
2016 (English)In: Numerical Mathematics and Advanced Applications: ENUMATH 2015, Springer, 2016, 607-615 p.Conference paper (Refereed)
Place, publisher, year, edition, pages
Springer, 2016. 607-615 p.
Series
Lecture Notes in Computational Science and Engineering, 112
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-309279DOI: 10.1007/978-3-319-39929-4_58ISI: 000398020000058ISBN: 978-3-319-39927-0 (print)OAI: oai:DiVA.org:uu-309279DiVA: diva2:1051688
Conference
ENUMATH 2015
Projects
eSSENCE
Available from: 2016-11-11 Created: 2016-12-02 Last updated: 2017-05-04Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association
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Language
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