Sparse wavelet methods for contingent claim valuation within stochastic volatility models
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Author / Producer
Date
2004
Publication Type
Conference Paper
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
Permanent link
Publication status
published
External links
Book title
Proceedings / ECCOMAS 2004, 4th European Congress on Computational Methods in Applied Sciences and Engineering : Jyväskylä, Finland, 24-28 July 2004
Journal / series
Volume
Pages / Article No.
Publisher
Eccomas
Event
4th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS 2004)
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Stochastic volatility models; Degenerate parabolic partial differential equations; Wavelets; Sparse grids; Multilevel-preconditioning
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph
Notes
Proceedings available on CD-ROM.