Pricing exotic derivatives exploiting structure
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Publication:299917
DOI10.1016/j.ejor.2013.12.009zbMath1338.91156OpenAlexW2031092938MaRDI QIDQ299917
Daniele Marazzina, Gianluca Fusai, Debora Sesana
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16990/1/Paper.pdf
option pricingnumerical quadraturematrix factorizationCEV processdiscrete monitoringexotic derivatives
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)
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Uses Software
Cites Work
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