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.
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