Showing results 1 to 2 of 2
Title | Author(s) | Issue Date | |
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Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options Journal:SIAM Journal on Financial Mathematics | 4-May-2024 | ||
On sparse grid interpolation for American option pricing with multiple underlying assets Journal:Journal of Computational and Applied Mathematics | 15-Aug-2025 |