Multi-asset option pricing using a parallel Fourier-based technique

2008-10-01

Journal of Computational Finance , Volume 12 - Issue 1 p. 1- 26

Additional Metadata
Keywords	basket options, FFT
MSC	Applications to actuarial sciences and financial mathematics (msc 62P05), Computer aspects of numerical algorithms (msc 65Yxx), Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (msc 42A38)
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	Risk Publications
Journal	Journal of Computational Finance
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Leentvaar, C. C. W., & Oosterlee, K. (2008). Multi-asset option pricing using a parallel Fourier-based technique. Journal of Computational Finance, 12(1), 1–26.

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