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pro vyhledávání: '"Jacob Snoeijer"'
Autor:
Karel J. in’t Hout, Jacob Snoeijer
Publikováno v:
Mathematics, Vol 9, Iss 13, p 1498 (2021)
We study the principal component analysis based approach introduced by Reisinger and Wittum (2007) and the comonotonic approach considered by Hanbali and Linders (2019) for the approximation of American basket option values via multidimensional parti
Externí odkaz:
https://doaj.org/article/e91221fb6e074fc787d85c0e43a0ecea
Autor:
Jacob Snoeijer, Karel in 't Hout
Publikováno v:
International journal of computer mathematics
We study the principal component analysis (PCA) based approach introduced by Reisinger and Wittum [Efficient hierarchical approximation of high-dimensional option pricing problems, SIAM J. Sci. Comp. 29 (2007), pp. 440–458] for the approximation of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::efdc04672f64461cfb8704c523c1ca6f
https://hdl.handle.net/10067/1703820151162165141
https://hdl.handle.net/10067/1703820151162165141