MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY

DOI10.1142/S0219024907004652MaRDI QIDQ3503045zbMATH OpenFDO

Authors Jan W. Dash

Publication date 20 May 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

creditmultivariateoptionscorrelationsexpansionperturbationintegralGaussianStudent-\(t\)Padé

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Integration with respect to measures and other set functions (28A25)

Recommendations

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Cites work

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• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• The Numerical Evaluation of Certain Multivariate Normal Integrals

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