Browsing Matematisk institutt by Author "Dahl, Lars O."
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Dahl, Lars O. (Research report / Forskningsrapport, 2002)The paper presents an adaptive method for the evaluation of multidimensional integrals over the unit cube. The measure used to partition the domain is suited for integrands which are monotonic in each dimension individually, ...
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Dahl, Lars O. (Research report / Forskningsrapport, 2002)This is part two of a work on adaptive integration methods aimed at multidimensional option pricing problems in finance. It presents simulation results of an adaptive method developed in a companion article for the evaluation ...
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Benth, Fred Espen; Dahl, Lars O.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2002)In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...