Minerva  

19th GAMM-Seminar Leipzig on
High-dimensional problems - Numerical treatment and applications

Max-Planck-Institute for Mathematics in the Sciences
Inselstr. 22-26, D-04103 [O->]Leipzig
Phone: +49.341.9959.752, Fax: +49.341.9959.999


     
  Homepage  
     
  19th GAMM-Seminar
January, 23th-25th, 2003
 
     
  Announcement  
  Registration  
  Participants  
  Programme  
  Abstracts ->
  Proceedings  
     
  Archive  
     
  All seminars  
  All proceedings  
     
 
  Abstract Jörg Kampen, Andreas Prohl, Fri, 15.30-15.55 Previous Contents Next  
  Numerical Analysis for Multi-asset European Options
Jörg Kampen, Andreas Prohl (Uni Heidelberg)

We propose numerical strategies to reliably deal with multi-asset plain vanilla European options using sparse grids, where main problems are caused by restricted regularity of initial data opposed to strong regularity requirements for the spatial discretization to guarantee optimal convergence behavior.

Computational experiments are presented to illustrate the performance of the scheme.

This talk presents joint work with Andreas Prohl.
 

 
    Previous Contents Next  


Last updated:
30.11.2004 Impressum
 
Concept, Design and Realisation
[O->]Jens Burmeister (Uni Kiel), Kai Helms (MPI Leipzig)
Valid HTML 4.0!