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» Krylov Subspace Methods for Linear Systems with Tensor Produ...
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2009
ACM
13 years 10 months ago
GPU based sparse grid technique for solving multidimensional options pricing PDEs
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...
Abhijeet Gaikwad, Ioane Muni Toke