The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
![Open Access](/xmlui/themes/Fakultaeten//images/32px-Open_Access_logo_PLoS_white.svg.png)
dc.contributor.author | Griebel, Michael | |
dc.contributor.author | Kuo, Frances Y. | |
dc.contributor.author | Sloan, Ian H. | |
dc.date.accessioned | 2024-08-21T12:41:49Z | |
dc.date.available | 2024-08-21T12:41:49Z | |
dc.date.issued | 2014 | |
dc.identifier.uri | https://hdl.handle.net/20.500.11811/11910 | |
dc.description.abstract | The pricing problem for a continuous path-dependent option results in a path integral which can be recast into an infinite-dimensional integration problem. We study ANOVA decomposition of a function of infinitely many variables arising from the Brownian bridge formulation of the continuous option pricing problem. We show that all resulting ANOVA terms can be smooth in this infinite-dimensional case, despite the non-smoothness of the underlying payoff function. This result may explain why quasi-Monte Carlo methods or sparse grid quadrature techniques work for such option pricing problems. | en |
dc.format.extent | 24 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | INS Preprints ; 1403 | |
dc.rights | In Copyright | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.subject.ddc | 518 Numerische Analysis | |
dc.title | The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth | |
dc.type | Preprint | |
dc.publisher.name | Institut für Numerische Simulation (INS) | |
dc.publisher.location | Bonn | |
dc.rights.accessRights | openAccess | |
dc.relation.doi | https://doi.org/10.1090/mcom/3171 | |
ulbbn.pubtype | Zweitveröffentlichung | |
dcterms.bibliographicCitation.url | https://ins.uni-bonn.de/publication/preprints |
Dateien zu dieser Ressource
Das Dokument erscheint in:
-
INS Preprints (153)