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

CCW Leentvaar, CW Oosterlee

Research output: Contribution to journalArticleProfessional

Original languageUndefined/Unknown
Pages (from-to)1-21
Number of pages21
JournalReports of the Department of Applied Mathematical Analysis
Issue number13
Publication statusPublished - 2006


  • Vakpubl., Overig wet. > 3 pag

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