Institute for Numerical Simulation
Rheinische Friedrich-Wilhelms-Universität Bonn
maximize


@inproceedings{Griebel.Hullmann:2012,
  author = {M. Griebel and A. Hullmann},
  title = {{An efficient sparse grid Galerkin approach for the
		  numerical valuation of basket options under Kou's
		  jump-diffusion model}},
  booktitle = {Sparse grids and Applications},
  series = {Lecture Notes in Computational Science and Engineering},
  publisher = {Springer},
  year = {2013},
  pages = {121--150},
  inspreprintnum = {1202},
  pdf = {http://wissrech.ins.uni-bonn.de/research/pub/hullmann/GriebelHullmann2012_OptionPricingKouModel.pdf 1},
  note = {Also available as INS Preprint No. 1202},
  annote = {series}
}