The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions

Carl Chiarella, Nadima El-Hassan () and Adam Kucera

No 292, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: path integrals; multifactor derivative securities; Fourier-Hermite series expansions (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2002-07-01
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