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Option pricing with a direct adaptive sparse grid approach.
Hans-Joachim Bungartz
Alexander Heinecke
Dirk Pflüger
Stefanie Schraufstetter
Published in:
J. Comput. Appl. Math. (2012)
Keyphrases
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option pricing
black scholes
stock price
decision analysis
black scholes model
real option
capital budgeting
high dimensional
domain knowledge
wordnet
soft computing
multi criteria