Extending quadrature methods to value multi-asset and complex path dependent options
| Year of publication: |
2007
|
|---|---|
| Authors: | D. Andricopoulos, Ari ; Widdicks, Martin ; Newton, David P. ; Duck, Peter W. |
| Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 83.2007, 2, p. 471-499
|
| Publisher: |
Elsevier |