ESAIM: Mathematical Modelling and Numerical Analysis (ESAIM: M2AN)

Fast deterministic pricing of options on Lévy driven assets

Ana-Maria Matache, Tobias von Petersdorff and Christoph Schwab

ESAIM: M2AN, 38 1 (2004) 37-71

Published online: 15 February 2004

DOI: 10.1051/m2an:2004003

Ana-Maria Matache

Tobias von Petersdorff

Christoph Schwab

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