Adaptive Integration and Approximation over hyper-rectangular regions with applications to basket options pricing

Christophe de Luigi 1 Sylvain Maire 2, 3
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : We describe an adaptive algorithm to compute sparse polynomial approximations and the integral of a multivariate function over hyper-rectangular regions in medium dimensions. Numerical examples are given on functions taken from the Genz package and on basket options pricing in dimension up to 5.
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https://hal.inria.fr/inria-00442778
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  • HAL Id : inria-00442778, version 1

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Christophe de Luigi, Sylvain Maire. Adaptive Integration and Approximation over hyper-rectangular regions with applications to basket options pricing. Monte Carlo Methods and Applications, De Gruyter, 2010, 16 p. ⟨inria-00442778⟩

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