Fast and Simple Method for Pricing Exotic Options Using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Luo, Xiaolin, Shevchenko, Pavel V.Year:
2014
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2517089
File:
PDF, 221 KB
english, 2014