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"Option pricing with polynomial chaos expansion stochastic bridge ..."

Fabio S. Dias, Gareth W. Peters (2021)

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DOI: 10.1016/J.AMC.2021.126484

access: closed

type: Journal Article

metadata version: 2021-10-14

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Fabio S. Dias, Gareth W. Peters:
Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. Appl. Math. Comput. 411: 126484 (2021)

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