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Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Papapantoleon, …
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
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