Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Bayer, Christian; Ben Hammouda, Chiheb (Corresponding author); Tempone, Raúl

London : Taylor & Francis (2023)
Journal Article

In: Quantitative finance
Volume: 23
Issue: 2
Page(s)/Article-Nr.: 209-227

Institutions

• Department of Mathematics [110000]
• Chair of Mathematics for Uncertainty Quantification [118110]