A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
| Year of publication: |
2005
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|---|---|
| Authors: | Broadie, M. ; Yamamoto, Y. |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 53.2005, 5, p. 764-779
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