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The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions

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Author Info
Carl Chiarella
Nadima El-Hassan
Adam Kucera

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Abstract

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 292.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:292

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Related research
Keywords: path integrals; multifactor derivative securities; Fourier-Hermite series expansions;

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis

Statistics
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This page was last updated on 2010-1-4.

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