Z-Transform and preconditioning techniques for option pricing
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Publication:2873557
DOI10.1080/14697688.2010.538074zbMath1279.91183OpenAlexW2071530452MaRDI QIDQ2873557
Gianluca Fusai, Marina Marena, Daniele Marazzina, Michael Kwok-Po Ng
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.538074
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)
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