Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models

Fuente: arXiv

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Bibliographic Details
Main Authors:	Samet, Michael, Bayer, Christian, Hammouda, Chiheb Ben, Papapantoleon, Antonis, Tempone, Raúl
Format:	Preprint
Published:	2022
Subjects:	Computational Finance Numerical Analysis Pricing of Securities
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2203.08196