MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY

DOI10.1142/S0219024907004652zbMATH Open1141.91433MaRDI QIDQ3503045FDOQ3503045

Authors: Jan W. Dash 

Publication date: 20 May 2008

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

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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)

Cites Work

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• The Numerical Evaluation of Certain Multivariate Normal Integrals
• Title not available (Why is that?)

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