Reduced basis methods for pricing options with the black-scholes and Heston models

Keyphrases

• Pricing Options 100%
• Greedy 100%
• Reduced Basis Method 100%
• Black-Scholes Model 100%
• Heston Model 100%
• Error Estimator 50%
• Numerical Examples 50%
• Degree of Approximation 50%
• A Posteriori Error Estimation 50%
• Reduced Basis 50%
• Variational Inequality 50%
• Option Pricing Model 50%
• Variational Equality 50%
• Pricing American Option 50%
• Pricing European Option 50%
• Reducing Subspace 50%
• Reduced Scheme 50%

Mathematics

• Option Pricing 100%
• Black-Scholes Model 100%
• Heston Model 100%
• Posteriori 50%
• Effectivity 50%
• American Option 50%
• Numerical Example 50%