Open Journal of Statistics

Vol.3 No.6(2013), Paper ID 41540, 14 pages

DOI:10.4236/ojs.2013.36051

 

High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options

 

Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst

 

Thetaris GmbH, Munich, Germany
Thetaris GmbH, Munich, Germany
Technical University Munich, Munich, Germany

 

Copyright © 2013 Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


S. Dirnstorfer, A. Grau and R. Zagst, "High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options," Open Journal of Statistics, Vol. 3 No. 6, 2013, pp. 427-440. doi: 10.4236/ojs.2013.36051.

Copyright © 2020 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.