Variants of the Combination Technique for Multi-Dimensional Option Pricing
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Publication:2905434
DOI10.1007/978-3-642-25100-9_27zbMath1246.91147MaRDI QIDQ2905434
Stefanie Schraufstetter, Janos Benk, Hans-Joachim Bungartz, Aliz-Eva Nagy
Publication date: 27 August 2012
Published in: Mathematics in Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25100-9_27
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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