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44
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HPCS
2005
IEEE
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Distributed And Parallel Com...
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HPCS 2005
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Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models
14 years 6 months ago
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— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
Giuseppe Campolieti, Roman Makarov
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