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

Documenti analoghi

• Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
  di: Bayer, Christian, et al.
  Pubblicazione: (2024)
• Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options
  di: Kazbek, Rakhymzhan, et al.
  Pubblicazione: (2024)
• To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
  di: Bosi, Stefano, et al.
  Pubblicazione: (2025)
• Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
  di: Ter-Avanesov, Boris, et al.
  Pubblicazione: (2024)
• Common Idiosyncratic Quantile Factors and Asset Prices
  di: Barunik, Jozef, et al.
  Pubblicazione: (2022)