Low-dimensional approximations of high-dimensional asset price models

15 Mar 2020 Redmann Martin Bayer Christian Goyal Pawan

We consider high-dimensional asset price models that are reduced in their dimension in order to reduce the complexity of the problem or the effect of the curse of dimensionality in the context of option pricing. We apply model order reduction (MOR) to obtain a reduced system... (read more)

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  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS