Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models

Bayer, Christian; Hammouda, Chiheb Ben (Corresponding author); Papapantoleon, Antonis; Samet, Michael (Corresponding author); Tempone, Raúl

(2022)
Preprint

Einrichtungen

• Fachgruppe Mathematik [110000]
• Lehrstuhl für Mathematics for Uncertainty Quantification [118110]