A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options

DOI10.1287/opre.1050.0219zbMath1165.91394OpenAlexW2014681269MaRDI QIDQ5322136

Publication date: 18 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/fb99768d28110a70c44510ece94652307251c575

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)

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