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The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions
Chiarella, Carl, (2002)
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
Chiarella, Carl, (2000)
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models.