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multi-asset barrier options
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occupation time derivatives
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splitting direction technique
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Kwok, Yue-Kuen
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Wong, Hoi Ying
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Applied Mathematical Finance
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Multi-asset barrier options and occupation time derivatives
Wong, Hoi Ying
;
Kwok, Yue-Kuen
- In:
Applied Mathematical Finance
10
(
2003
)
3
,
pp. 245-266
processes, the
splitting
direction
technique
is developed for deriving the joint density functions of multi-variate terminal …
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