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~person:"Bayer, Christian"
~person:"Benth, Fred Espen"
~subject:"Black-Scholes"
~subject:"Fourier methods"
~subject:"Monte-Carlo-Simulation"
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Bayer, Christian
Benth, Fred Espen
Joshi, Mark S.
9
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Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Papapantoleon, …
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
Saved in:
2
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian
;
Redmann, Martin
;
Schoenmakers, John
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
Saved in:
3
Implied stopping rules for American basket options from Markovian projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
Saved in:
4
Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets
Benth, Fred Espen
;
Dahl, Lars O.
;
Hvistendahl Karlsen, …
- In:
International journal of theoretical and applied finance
6
(
2003
)
8
,
pp. 865-884
Persistent link: https://www.econbiz.de/10001862191
Saved in:
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