Smoothing the payoff for efficient computation of Basket option prices

Christian Bayer, Markus Siebenmorgen, Raul Tempone
  • Quantitative Finance, July 2017, Taylor & Francis
  • DOI: 10.1080/14697688.2017.1308003

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http://dx.doi.org/10.1080/14697688.2017.1308003

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