Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models
Bayer, Christian; Hammouda, Chiheb Ben; Papapantoleon, Antonis; Samet, Michael; Tempone, Raúl
(2022)
Preprint
Identifikationsnummern
- DOI: 10.48550/arXiv.2203.08196
- RWTH PUBLICATIONS: RWTH-2023-02169