Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Year of publication: |
2023
|
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Authors: | Bayer, Christian ; Ben Hammouda, Chiheb ; Papapantoleon, Antonis ; Samet, Michael ; Tempone, Raul |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 27.2023, 3, p. 43-86
|
Subject: | option pricing | Fourier methods | damping parameters | adaptive sparse grid quadrature | basket and rainbow options | multivariate Lévy models | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Experiment | Optionsgeschäft | Option trading |
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