Výsledky vyhledávání - "Multivariate approximation and integration"

Smoothing the payoff for efficient computation of Basket option prices Autor Bayer, Christian, Siebenmorgen, Markus, Tempone, Raul

“…We consider the problem of pricing basket options in a multivariate Black-Scholes or Variance-Gamma model. From a numerical point of view, pricing such options…”
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