Sparse Grid Finite-Difference Methods for Pricing of Multi-Asset Options
Sparse Grid Finite-Difference Methods for Pricing of Multi-Asset Options
Numerical approximations of the Libor Market Model by using Sparse Grid techniques.
In this project we study numerical approximations of the Libor Market Model by using Sparse Grid techniques. This approach is a promising method to solve high dimensional partial differential equations. The LIBOR Market Model is a model for interest rate movements and typically suffers from the curse of dimensionality when finite-difference techniques are used. As an extension of the earlier work, we target a more detailed study of the accuracy of the sparse "Greeks" (Delta and Vega) for a 2D Chooser Option, a 3D Bermudan Swaption and a 2D Digital Option. Given the results of experiments, we conclude that, despite satisfactory convergence of sparse grid values, further improvements are required to enhance the quality of the "Greeks" in the setting discussed.
SCS colloquium: N. Javaheri
De rekenregels van de natuur
