Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

C.C.W. Leentvaar () and C.W. Oosterlee ()
Additional contact information
C.C.W. Leentvaar: Delft University of Technology
C.W. Oosterlee: Delft University of Technology

A chapter in Numerical Mathematics and Advanced Applications, 2006, pp 975-983 from Springer

Abstract: Abstract We evaluate the sparse grid solution technique [9, 4] with 4th order discretization for pricing multi-asset options. Convergence in the sense of point-wise interpolation to a special point is considered. We also present a novel variant based on backward differentiation formula coefficients. In combination with the high order discretization we can solve five-dimensional option pricing problems satisfactorily on coarse grids.

Keywords: Coarse Grid; Sparse Grid; Combination Technique; Option Contract; Grid Convergence (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-34288-5_97

Ordering information: This item can be ordered from
http://www.springer.com/9783540342885

DOI: 10.1007/978-3-540-34288-5_97

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().