Fast deterministic pricing of options on Lévy driven assets

Author： Matache Ana-Maria   von Petersdorff Tobias   Schwab Christoph  

Publisher： Edp Sciences

E-ISSN： 1290-3841|38|1|37-71

ISSN： 0764-583x

Source： ESAIM: Mathematical Modelling and Numerical Analysis, Vol.38, Iss.1, 2010-03, pp. : 37-71

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