Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 23 (1999)
Issue (Month): 9-10 (September)
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- Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
- Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
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