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- Leentvaar, C.C.W. (author), Oosterlee, C.W. (author) report 2007
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Leentvaar, C.C.W. (author), Oosterlee, C.W. (author)We evaluate two coordinate transformation techniques in combination with a coordinate stretching for pricing basket options in a sparse grid setting. The sparse grid technique is a basic technique for solving a high-dimensional partial differential equation. By creating a small hypercube sub-grid in the 'composite' sparse grid we can also...report 2006