Application of the Fast Gauss Transform to Option Pricing
Year of publication: |
2003
|
---|---|
Authors: | Broadie, Mark ; Yamamoto, Yusaku |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 49.2003, 8, p. 1071-1088
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Option Pricing | American Options | Fast Gauss Transform | Jump-Diffusion Model |
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