Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options

Fuente: arXiv

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Bibliographic Details
Main Authors:	Bayer, Christian, Hammouda, Chiheb Ben, Papapantoleon, Antonis, Samet, Michael, Tempone, Raúl
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Numerical Analysis 65D32, 65T50, 65Y20, 91B25, 91G20, 91G60
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2403.02832