Smoothing the payoff for efficient computation of Basket...

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Quantitative Finance 2017 / 07

Smoothing the payoff for efficient computation of Basket option prices

Bayer, Christian, Siebenmorgen, Markus, Tempone, Raul
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2017.1308003
Date:
July, 2017
File:
PDF, 1.22 MB
english, 2017
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