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Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

SIAM Journal of Scientific Computing - United States
doi 10.1137/060649616
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Abstract

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Categories
Computational MathematicsApplied Mathematics
Date

January 1, 2007

Authors
Christoph ReisingerGabriel Wittum
Publisher

Society for Industrial & Applied Mathematics (SIAM)


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