1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.CP2016
Smoothing the payoff for efficient computation of Basket option prices
Christian Bayer, Markus Siebenmorgen, Raul Tempone
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moder…
math.NA2015★ 1 cited
Novel results for the anisotropic sparse grid quadrature
Abdul-Lateef Haji-Ali, Helmut Harbrecht, Michael Peters +1
This article is dedicated to the anisotropic sparse grid quadrature for functions which are analytically extendable into an anisotropic tensor product domain. Taking into account t…