Sparse wavelet methods for option pricing under stochastic volatility

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Author
Hilber, Norbert
Matache, Ana-Maria
Schwab, Christoph
Date
2004
Type
  • Report
Publication status
unpublished
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Journal / series
Research Report
Volume
2004-07
Publisher
ETH Zürich, Seminar für Angewandte Mathematik
Subject
Stochastic volatility models; Degenerate parabolic partial differential equations; Weighted Sobolev spaces; Discontinuous Galerkin time stepping; Compound Options; Sparse Tensor products; Hyperbolic cross approximations
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph  
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