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"Pricing derivatives on multiple assets: recombining multinomial trees ..."

Dirk Sierag, Bernard Hanzon (2018)

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DOI: 10.1007/S10479-017-2655-4

access: closed

type: Journal Article

metadata version: 2020-08-13

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Dirk Sierag, Bernard Hanzon:
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex. Ann. Oper. Res. 266(1-2): 101-127 (2018)

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