Multi-Asset option pricing using a parallel Fourier-Based Technique

CCW Leentvaar, CW Oosterlee

Research output: Contribution to journal › Article › Professional

Original language	Undefined/Unknown
Pages (from-to)	1-26
Number of pages	26
Journal	Reports of the Department of Applied Mathematical Analysis
Volume	07
Issue number	13
Publication status	Published - 2007

Keywords

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title = "Multi-Asset option pricing using a parallel Fourier-Based Technique",

keywords = "Wiskunde en Informatica, Techniek, technische Wiskunde en Informatica, Vakpubl., Overig wet. > 3 pag",

author = "CCW Leentvaar and CW Oosterlee",

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language = "Undefined/Unknown",

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journal = "Reports of the Department of Applied Mathematical Analysis",

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TY - JOUR

T1 - Multi-Asset option pricing using a parallel Fourier-Based Technique

AU - Leentvaar, CCW

AU - Oosterlee, CW

PY - 2007

Y1 - 2007

KW - Wiskunde en Informatica

KW - Techniek

KW - technische Wiskunde en Informatica

KW - Vakpubl., Overig wet. > 3 pag

M3 - Article

SN - 1389-6520

VL - 07

SP - 1

EP - 26

JO - Reports of the Department of Applied Mathematical Analysis

JF - Reports of the Department of Applied Mathematical Analysis

IS - 13

ER -