Saddlepoint approximations for expectations

X Huang, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	692-714
Number of pages	23
Journal	SIAM Journal on Financial Mathematics
Volume	2
DOIs	https://doi.org/10.1137/100784084
Publication status	Published - 2011

Keywords

@article{fc974af5113b4f0593e6b5dbd085ff11,

title = "Saddlepoint approximations for expectations",

keywords = "academic journal papers",

author = "X Huang and CW Oosterlee",

year = "2011",

doi = "10.1137/100784084",

language = "English",

volume = "2",

pages = "692--714",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics",

}