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
Computational experiments are presented to illustrate the performance of
This talk presents joint work with Andreas Prohl.