41 citations · 302 across the 43 of their papers we have counts for
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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…
math.NA2014
The Localized Reduced Basis Multiscale method for two-phase flows in porous media
Sven Kaulmann, Bernd Flemisch, Bernard Haasdonk +2
In this work, we propose a novel model order reduction approach for two-phase flow in porous media by introducing a formulation in which the mobility, which realizes the coupling b…