Multi-Asset option pricing using a parallel Fourier-Based Technique

Journal article (2007)

Authors

CCW Leentvaar Numerical Analysis - EEMCS
CW Oosterlee Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2007

Language

Undefined/Unknown

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis