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Project description

General solvers for the general Black-Scholes (Fokker Planck) partial differential equation (PDE) in a multi-dimensional setting with main application in finance (PDE-based option pricing).

Project Info

Tags: finance, option, sparse grids, multi-dimensions, option pricing

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Registered: 2012-11-02 22:52
Activity Ranking: 0
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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge