Sparse wavelet methods for contingent claim valuation within stochastic volatility models

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Author
Hilber, N.
Matache, A.-M.
Schwab, Ch.
Date
2004
Type
  • Conference Paper
Publication status
published
External links
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Editor
Neittaanmäki, P.
Rossi, T.
Korotov, S.
Onate, E.
Périaux, J
Knörzer, D.
Book title
Proceedings / ECCOMAS 2004, 4th European Congress on Computational Methods in Applied Sciences and Engineering : Jyväskylä, Finland, 24-28 July 2004
Publisher
Eccomas
Event
4th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS 2004), July 24-28, 2004
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.
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