The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Chiarella, Carl ; El-Hassan, Nadima ; Kucera, Adam |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | path integrals | multifactor derivative securities | Fourier-Hermite series expansions |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 292 |
| Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
| Source: |
Persistent link: https://www.econbiz.de/10005345422