On coordinate transformation and grid stretching for sparse grid pricing of basket options

Research output: Contribution to journal › Article › Professional

Original language	Undefined/Unknown
Pages (from-to)	1-21
Number of pages	21
Journal	Reports of the Department of Applied Mathematical Analysis
Volume	06
Issue number	13
Publication status	Published - 2006

Keywords

@article{e5879b8d78f94de0baa3ed0ab6bc4c56,

title = "On coordinate transformation and grid stretching for sparse grid pricing of basket options",

keywords = "Vakpubl., Overig wet. > 3 pag",

author = "CCW Leentvaar and CW Oosterlee",

year = "2006",

language = "Undefined/Unknown",

volume = "06",

pages = "1--21",

journal = "Reports of the Department of Applied Mathematical Analysis",

issn = "1389-6520",

number = "13",

}

TY - JOUR

T1 - On coordinate transformation and grid stretching for sparse grid pricing of basket options

AU - Leentvaar, CCW

AU - Oosterlee, CW

PY - 2006

Y1 - 2006

KW - Vakpubl., Overig wet. > 3 pag

M3 - Article

SN - 1389-6520

VL - 06

SP - 1

EP - 21

JO - Reports of the Department of Applied Mathematical Analysis

JF - Reports of the Department of Applied Mathematical Analysis

IS - 13

ER -