ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS |
Lee, Seunggyu
(DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY)
Li, Yibao (DEPARTMENT OF COMPUTATIONAL SCIENCE AND ENGINEERING, YONSEI UNIVERSITY) Choi, Yongho (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) Hwang, Hyoungseok (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) Kim, Junseok (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) |
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