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On sparse grid interpolation for American option pricing with multiple underlying assets (2025)

First Author: Yang J

Attributed to: Isaac Newton Institute for Mathematical Sciences funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.cam.2025.116544

Publication URI: http://dx.doi.org/10.1016/j.cam.2025.116544

Type: Journal Article/Review

Parent Publication: Journal of Computational and Applied Mathematics

ISSN: 03770427