"A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete ..."

M. Broadie, Y. Yamamoto (2005)

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DOI: 10.1287/OPRE.1050.0219

access: closed

type: Journal Article

metadata version: 2020-03-31

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M. Broadie, Y. Yamamoto:
A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options. Oper. Res. 53(5): 764-779 (2005)

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