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]
Identifikationsnummern
- DOI: 10.48550/arXiv.2203.08196
- arXiv: arXiv:2203.08196
- RWTH PUBLICATIONS: RWTH-2023-02169