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Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models.

Christian BayerChiheb Ben HammoudaAntonis PapapantoleonMichael SametRaúl Tempone
Published in: CoRR (2022)
Keyphrases
  • probabilistic model
  • dynamic programming
  • parameter estimation
  • complex systems
  • optimal design
  • fourier transform
  • worst case
  • statistical models
  • dynamic model
  • historical data
  • analytical model
  • option pricing