Sparse wavelet methods for contingent claim valuation within stochastic volatility models
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Date
2004Type
- Conference Paper
ETH Bibliography
yes
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Publication status
publishedBook title
Proceedings / ECCOMAS 2004, 4th European Congress on Computational Methods in Applied Sciences and Engineering : Jyväskylä, Finland, 24-28 July 2004Publisher
EccomasEvent
Subject
Stochastic volatility models; Degenerate parabolic partial differential equations; Wavelets; Sparse grids; Multilevel-preconditioningOrganisational unit
03435 - Schwab, Christoph / Schwab, Christoph
Notes
Proceedings available on CD-ROM.More
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ETH Bibliography
yes
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