most citedReduced basis methods for pricing options with the Black-Scholes and Heston model

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math.NA2014★ 2 cited

Reduced basis methods for pricing options with the Black-Scholes and Heston model

Olena Burkovska, Bernard Haasdonk, Julien Salomon +1

In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formula…