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    GPU based sparse grid technique for solving multidimensional options pricing PDEs
    14 years 2 months ago
    GPU based sparse grid technique for solving multidimensional options pricing PDEs
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    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
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