most citedA Reduced Basis Method for Parabolic Partial Differential Equations with Parameter Functions and Application to Option Pricing

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math.NA2014★ 1 cited

A Reduced Basis Method for Parabolic Partial Differential Equations with Parameter Functions and Application to Option Pricing

Antonia Mayerhofer, Karsten Urban

We consider the Heston model as an example of a parameterized parabolic partial differential equation. A space-time variational formulation is derived that allows for parameters in…