Sparse wavelet methods for option pricing under stochastic volatility
Metadata only
Date
2004Type
- Report
Altmetrics
Publication status
unpublishedExternal links
Search via SFX
Journal / series
Research ReportVolume
Publisher
ETH Zürich, Seminar für Angewandte MathematikSubject
Stochastic volatility models; Degenerate parabolic partial differential equations; Weighted Sobolev spaces; Discontinuous Galerkin time stepping; Compound Options; Sparse Tensor products; Hyperbolic cross approximationsOrganisational unit
03435 - Schwab, Christoph
Notes
.More
Show all metadata
Altmetrics