On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

Xun Li; Zhenyu Wu

doi:10.1016/j.cor.2006.02.020

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

Computers & Operations Research ◽

10.1016/j.cor.2006.02.020 ◽

2008 ◽

Vol 35 (1) ◽

pp. 76-89 ◽

Cited By ~ 1

Author(s):

Xun Li ◽

Zhenyu Wu

Keyword(s):

Approximation Method ◽

High Dimensional ◽

Basket Option

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A tensor approximation method based on ideal minimal residual formulations for the solution of high-dimensional problems

ESAIM Mathematical Modelling and Numerical Analysis ◽

10.1051/m2an/2014019 ◽

2014 ◽

Vol 48 (6) ◽

pp. 1777-1806 ◽

Cited By ~ 17

Author(s):

M. Billaud-Friess ◽

A. Nouy ◽

O. Zahm

Keyword(s):

Approximation Method ◽

High Dimensional ◽

Tensor Approximation ◽

Minimal Residual

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An Approximation Method of the Quadratic Discriminant Function and Its Application to Estimation of High-Dimensional Distribution

IEICE Transactions on Information and Systems ◽

10.1093/ietisy/e90-d.8.1160 ◽

2007 ◽

Vol E90-D (8) ◽

pp. 1160-1167 ◽

Cited By ~ 5

Author(s):

S. OMACHI ◽

M. OMACHI ◽

H. ASO

Keyword(s):

Discriminant Function ◽

Approximation Method ◽

High Dimensional ◽

Quadratic Discriminant Function ◽

Dimensional Distribution

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Modified approximation method for structural failure probability analysis of high-dimensional systems

Ocean Engineering ◽

10.1016/j.oceaneng.2021.109486 ◽

2021 ◽

Vol 237 ◽

pp. 109486

Author(s):

Wenchi Ni ◽

Xu Zhang ◽

Wei Zhang

Keyword(s):

Approximation Method ◽

Failure Probability ◽

Probability Analysis ◽

High Dimensional ◽

Structural Failure

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A non linear approximation method for solving high dimensional partial differential equations: Application in finance

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2016.07.013 ◽

2018 ◽

Vol 143 ◽

pp. 14-34

Author(s):

José Infante Acevedo ◽

Tony Lelièvre

Keyword(s):

Partial Differential Equations ◽

Differential Equations ◽

Linear Approximation ◽

Approximation Method ◽

High Dimensional ◽

Partial Differential ◽

Linear Approximation Method ◽

Non Linear

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High-Dimensional Probability

10.1017/9781108231596 ◽

2018 ◽

Cited By ~ 101

Author(s):

Roman Vershynin

Keyword(s):

High Dimensional

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

10.1017/cbo9781107588080 ◽

2015 ◽

Cited By ~ 26

Author(s):

Jianfeng Yao ◽

Shurong Zheng ◽

Zhidong Bai

Keyword(s):

Data Analysis ◽

High Dimensional Data ◽

Covariance Matrices ◽

High Dimensional ◽

Large Sample ◽

Sample Covariance Matrices ◽

Sample Covariance ◽

High Dimensional Data Analysis

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The Semantic Credentials of High-Dimensional Memory Models

PsycEXTRA Dataset ◽

10.1037/e528942014-058 ◽

2014 ◽

Author(s):

Curt Burgess ◽

Sarah Maples

Keyword(s):

Memory Models ◽

High Dimensional

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THE GLOBAL SMOOTH SOLUTION FOR HIGH-DIMENSIONAL HYPERBOLIC SYSTEMS

Acta Mathematica Scientia ◽

10.1016/s0252-9602(18)30138-3 ◽

1994 ◽

Vol 14 (3) ◽

pp. 241-251 ◽

Cited By ~ 1

Author(s):

Zhiming Hu ◽

Tong Zhang

Keyword(s):

Smooth Solution ◽

Hyperbolic Systems ◽

High Dimensional ◽

Global Smooth Solution

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Fractal-Based Methods as a Technique for Estimating the Intrinsic Dimensionality of High-Dimensional Data: A Survey

Informatica ◽

10.15388/informatica.2016.84 ◽

2016 ◽

Vol 27 (2) ◽

pp. 257-281 ◽

Cited By ~ 5

Author(s):

Rasa Karbauskaitė ◽

Gintautas Dzemyda

Keyword(s):

High Dimensional Data ◽

High Dimensional ◽

Intrinsic Dimensionality

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Using the Combination of GM(1,1) and Taylor Approximation Method to Predict the Academic Achievement of Student

SOP Transactions on Applied Mathematics ◽

10.15764/am.2014.02006 ◽

2014 ◽

Vol 1 (2) ◽

pp. 55-69 ◽

Cited By ~ 3

Author(s):

Phuoc-Hai Nguyen ◽

◽

Tian-Wei Sheu ◽

Phung-Tuyen Nguyen ◽

Duc-Hieu Pham ◽

...

Keyword(s):

Academic Achievement ◽

Approximation Method ◽

Taylor Approximation

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