A parallel wavelet-based pricing procedure for Asian options
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Publication:4682997
DOI10.1080/14697688.2014.935465zbMath1398.91667OpenAlexW2060989478MaRDI QIDQ4682997
Daniele Marazzina, Zelda Marino, Stefania Corsaro
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11311/881608
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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Cites Work
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