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Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation.

Benjamin PeherstorferPablo GómezHans-Joachim Bungartz
Published in: Adv. Comput. Math. (2015)
Keyphrases
  • probabilistic model
  • neural network
  • pattern recognition
  • expert systems
  • artificial neural networks
  • graphical models
  • image enhancement
  • numerical methods