Follow
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models. (arXiv:2203.08196v1 [q-fin.CP]) http://arxiv.org/abs/2203.08196
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models. (arXiv:2203.08196v1 [q-fin.CP]) http://arxiv.org/abs/2203.08196