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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, p. 607-615Conference paper, Published paper (Refereed)
Place, publisher, year, edition, pages
Springer, 2016. p. 607-615
Series
Lecture Notes in Computational Science and Engineering ; 112
National Category
Computational Mathematics
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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, id: diva2:1051688
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ENUMATH 2015
Projects
eSSENCEAvailable from: 2016-11-11 Created: 2016-12-02 Last updated: 2017-05-04Bibliographically approved

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von Sydow, LinaLehto, Erik

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