Accessible Requires Authentication Published by De Gruyter October 20, 2010

Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing

Christophe De Luigi and Sylvain Maire
From the journal

Abstract

We describe an adaptive algorithm to compute piecewise sparse polynomial approximations and the integral of a multivariate function over hyper-rectangular regions in medium dimensions. The key ingredient is a quasi-Monte Carlo quadrature rule which can handle the numerical integration of both very regular and less regular functions. Numerical tests are performed on functions taken from Genz package in dimensions up to 5 and on basket options pricing.

Received: 2010-02-05
Revised: 2010-09-21
Published Online: 2010-10-20
Published in Print: 2010-December

© de Gruyter 2010