Application of the Fast Gauss Transform to Option Pricing
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Publication:3114865
DOI10.1287/mnsc.49.8.1071.16405zbMath1232.91650OpenAlexW2132994877MaRDI QIDQ3114865
Yusaku Yamamoto, Mark N. Broadie
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/0ba03b6ca60506aa46b7fd3ad0de86e24e09fe71
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)
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