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
Citation
Leentvaar, C.C.W, & Oosterlee, C.W. (2008). Multi-asset option pricing using a parallel Fourier-based technique. Journal of Computational Finance, 12(1), 1–26.