Meshfree Approximation for Multi-Asset Options
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References listed on IDEAS
- Carol Alexander & Aanand Venkatramanan, 2007. "Analytic Approximations for Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2007-11, Henley Business School, Reading University.
- Carol Alexander & Aanand Venkatramanan, 2008. "Analytic Approximations for Multi-Asset Option Pricing," ICMA Centre Discussion Papers in Finance icma-dp2009-05, Henley Business School, Reading University, revised Jun 2009.
- Szymon Borak & Kai Detlefsen & Wolfgang Härdle, 2005. "FFT Based Option Pricing," SFB 649 Discussion Papers SFB649DP2005-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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- repec:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9605-0 is not listed on IDEAS
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KeywordsMulti-asset options; radial basis function; meshfree approximation; collocation; multidimensional Lévy process; basket options; PIDE; PDE;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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