An Efficient Sparse Grid Galerkin Approach for the Numerical Valuation of Basket Options Under Kou’s Jump-Diffusion Model

Michael Griebel; Alexander Hullmann

Book Chapter

An Efficient Sparse Grid Galerkin Approach for the Numerical Valuation of Basket Options Under Kou’s Jump-Diffusion Model

Griebel M
Hullmann A

DOI: 10.1007/978-3-642-31703-3_6

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Griebel, M., & Hullmann, A. (2012). An Efficient Sparse Grid Galerkin Approach for the Numerical Valuation of Basket Options Under Kou’s Jump-Diffusion Model (pp. 121–150). https://doi.org/10.1007/978-3-642-31703-3_6

An Efficient Sparse Grid Galerkin Approach for the Numerical Valuation of Basket Options Under Kou’s Jump-Diffusion Model

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