Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet and Raul Tempone

Year of publication:	2023
Authors:	Bayer, Christian ; Ben Hammouda, Chiheb ; Papapantoleon, Antonis ; Samet, Michael ; Tempone, Raul
Subject:	option pricing \| Fourier methods \| damping parameters \| adaptive sparse grid quadrature \| basket and rainbow options \| multivariate Lévy models \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| Schätztheorie \| Estimation theory

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