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Application of the Fast Gauss Transform to Option Pricing

Management Science - United States
doi 10.1287/mnsc.49.8.1071.16405
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Abstract

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Categories
Management ScienceManagementOperations ResearchStrategy
Date

August 1, 2003

Authors
Mark BroadieYusaku Yamamoto
Publisher

Institute for Operations Research and the Management Sciences (INFORMS)


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