"Optimal Damping with Hierarchical Adaptive Quadrature for Efficient ..."

Christian Bayer et al. (2022)

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DOI: 10.48550/ARXIV.2203.08196

access: open

type: Informal or Other Publication

metadata version: 2022-12-07

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  - https://dblp.org/rec/journals/corr/abs-2203-08196
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone:
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. CoRR abs/2203.08196 (2022)

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