Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation
- 期刊名称Journal of Financial Engineering
- 作者Luo, Xiaolin; Shevchenko, Pavel V.
- 卷第1卷
- 期第4期
- 印刷ISSN2345-7686
- 电子ISSN2382-5596
- 文件大小273.78KB
- 发表时间2014-12
- DOI10.1142/S2345768614500330
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