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"Application of the Fast Gauss Transform to Option Pricing."

Mark Broadie, Yusaku Yamamoto (2003)

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DOI: 10.1287/MNSC.49.8.1071.16405

access: closed

type: Journal Article

metadata version: 2020-06-30

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Mark Broadie, Yusaku Yamamoto:
Application of the Fast Gauss Transform to Option Pricing. Manag. Sci. 49(8): 1071-1088 (2003)

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