Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
Conference Paper
(2006)
Author(s)
CCW Leentvaar (TU Delft - Numerical Analysis)
C. W. Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
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https://resolver.tudelft.nl/uuid:01aa1e4d-77cf-4d20-a4d0-c871734b102e
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Publication Year
2006
Research Group
Numerical Analysis
Pages (from-to)
975-986
ISBN (print)
3-540-34287-7
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