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Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing.

Christophe De LuigiSylvain Maire
Published in: Monte Carlo Methods Appl. (2010)
Keyphrases
  • option pricing
  • rectangular regions
  • stock price
  • decision analysis
  • black scholes
  • image processing
  • data structure
  • black scholes model
  • data mining
  • graphical models