A fast algorithm for computing integrals in function spaces: Financial applications

DOI10.1007/BF01299456zbMath0824.90013MaRDI QIDQ1890891

Alexander Eydeland

Publication date: 23 May 1995

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

financial applicationscomputing path integrals in function spacespricing European and American style interest rate options

Mathematics Subject Classification ID

Related Items (17)

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