A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options

Operations Research

Volumn 53, Issue 5, 2005, Pages 764-779

  Broadie, M ^a   Yamamoto, Y ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b NAGOYA UNIVERSITY   (Japan)

Author keywords

Finance: asset pricing

Indexed keywords

FINANCE: ASSET PRICING; GAUSS TRANSFORM; GAUSSIAN DISTRIBUTION;

COMPUTATIONAL COMPLEXITY; COSTS; FINANCE;

ALGORITHMS;

EID: 27344454714     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1050.0219     Document Type: Article

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