Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

Jules Sadefo Kamdem and A. Genz
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A. Genz: WSU - Washington State University

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Date: 2008-03
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Published in IASC '08 : Joint 4th World Conference of the IASC and 6th of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, 2008, 52 (7), pp.3389-3407. ⟨10.1016/j.csda.2007.12.006⟩

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Journal Article: Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (2008)
Working Paper: Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (2008)
Working Paper: Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02938642

DOI: 10.1016/j.csda.2007.12.006

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