Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Numerical valuation of Bermudan basket options via partial differential
  equations   We study the principal component analysis (PCA) based approach introduced by
Reisinger & Wittum (2007) for the approximation of Bermudan basket option
values via partial differential equations (PDEs). This highly efficient
approximation approach requires the solution of only a limited number of
low-dimensional PDEs complemented with optimal exercise conditions. It is
demonstrated by ample numerical experiments that a common discretization of the
pertinent PDE problems yields a second-order convergence behaviour in space and
time, which is as desired. It is also found that this behaviour can be somewhat
irregular, and insight into this phenomenon is obtained.

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The categories of this paper are: funct-an
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The categories of this paper are: alg-geom
20
The categories of this paper are: acc-phys
22
The categories of this paper are: chao-dyn
21
The categories of this paper are: adap-org
12
The categories of this paper are: nucl-th
6
The categories of this paper are: astro-ph
9
The categories of this paper are: nlin
36
The categories of this paper are: cmp-lg
34
The categories of this paper are: chem-ph
10
The categories of this paper are: q-bio
35
The categories of this paper are: mtrl-th
25
The categories of this paper are: patt-sol
32
The categories of this paper are: atom-ph
15
The categories of this paper are: nucl-ex
8
The categories of this paper are: hep-ex