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Reduced basis for vanilla and basket options

Issue title: Computational Techniques in Finance

Article type: Research Article

Authors: Pironneau, Olivier

Affiliations: UPMC-ParisVI, LJLL, 4 Place Jussieu, Paris F-75005, France. E-mail: pironneau@ann.jussieu.fr

Abstract: In SIAM J. Finan. Math. 2 (2011), 287–316, it was shown that by writing the solution of the Black–Scholes partial differential equation on a small set of basis functions the computing time can be dramatically reduced. In this study we explore the generalization of the technique to basket options.

Keywords: Option pricing, Galerkin basis, reduced basis

DOI: 10.3233/RDA-2011-0045

Journal: Risk and Decision Analysis, vol. 2, no. 4, pp. 185-194, 2011

Published: 2011
Price: EUR 27.50
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