Extending quadrature methods to value multi-asset and complex path-dependent options

Andricopoulos, A D and Widdicks, M and Newton, D P and Duck, P W (2007) Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics, 83 (2). pp. 471-499. ISSN 0304-405X

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Item Type:
Journal Article
Journal or Publication Title:
Journal of Financial Economics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
44926
Deposited By:
Deposited On:
11 Jul 2011 18:23
Refereed?:
Yes
Published?:
Published
Last Modified:
03 Jun 2020 01:05