Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

CCW Leentvaar, CW Oosterlee

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

Original language	Undefined/Unknown
Title of host publication	Proceedings of ENUMATH 2005
Editors	A Bermudez de Castro, D Gomez
Place of Publication	Heidelberg
Publisher	Springer
Pages	975-986
Number of pages	12
ISBN (Print)	3-540-34287-7
Publication status	Published - 2006
Event	ENUMATH 2005 - Berlin Duration: 18 Jul 2005 → 22 Jul 2005

Name
Publisher	Springer

Conference	ENUMATH 2005
Period	18/07/05 → 22/07/05

Keywords

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title = "Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences",

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author = "CCW Leentvaar and CW Oosterlee",

year = "2006",

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isbn = "3-540-34287-7",

publisher = "Springer",

pages = "975--986",

editor = "{Bermudez de Castro}, A and D Gomez",

booktitle = "Proceedings of ENUMATH 2005",

note = "ENUMATH 2005 ; Conference date: 18-07-2005 Through 22-07-2005",

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TY - GEN

T1 - Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

AU - Leentvaar, CCW

AU - Oosterlee, CW

PY - 2006

Y1 - 2006

KW - conference contrib. refereed

KW - Conf.proc. > 3 pag

M3 - Conference contribution

SN - 3-540-34287-7

SP - 975

EP - 986

BT - Proceedings of ENUMATH 2005

A2 - Bermudez de Castro, A

A2 - Gomez, D

PB - Springer

CY - Heidelberg

T2 - ENUMATH 2005

Y2 - 18 July 2005 through 22 July 2005

ER -