Pricing exotic derivatives exploiting structure
Year of publication: |
2014
|
---|---|
Authors: | Sesana, Debora ; Marazzina, Daniele ; Fusai, Gianluca |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 236.2014, 1, p. 369-381
|
Publisher: |
Elsevier |
Subject: | CEV process | Discrete monitoring | Exotic derivatives | Matrix Factorization | Numerical quadrature | Option pricing |
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