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"The waterline tree for separable local-volatility models."

U. Hou Lok, Yuh-Dauh Lyuu (2017)

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DOI: 10.1016/J.CAMWA.2016.12.008

access: open

type: Journal Article

metadata version: 2021-02-11

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  dblp key:
  - journals/cma/LokL17
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  - https://dblp.org/rec/journals/cma/LokL17
U. Hou Lok, Yuh-Dauh Lyuu:
The waterline tree for separable local-volatility models. Comput. Math. Appl. 73(4): 537-559 (2017)

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