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Papers matching “sparse grids” 2

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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
2020 Quantitative Finance article Economics, Econometrics and Finance Stochastic processes and financial applications Open access

17

citations
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
2022 Quantitative Finance article Economics, Econometrics and Finance Stochastic processes and financial applications Open access

Christian Bayer, Chiheb Ben Hammouda, Raul F. Tempone

9

citations

2 results