Incremental computation of block triangular matrix exponentials with application to option pricing (Q2406867)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incremental computation of block triangular matrix exponentials with application to option pricing |
scientific article |
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Incremental computation of block triangular matrix exponentials with application to option pricing (English)
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4 October 2017
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matrix exponential
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block triangular matrix
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polynomial diffusion models
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option pricing
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