Mark Broadie, Yusaku Yamamoto. Application of the Fast Gauss Transform to Option Pricing. Management Science, 49(8):1071-1088, 2003. [doi]
@article{BroadieY03,
title = {Application of the Fast Gauss Transform to Option Pricing},
author = {Mark Broadie and Yusaku Yamamoto},
year = {2003},
doi = {10.1287/mnsc.49.8.1071.16405},
url = {http://dx.doi.org/10.1287/mnsc.49.8.1071.16405},
researchr = {https://researchr.org/publication/BroadieY03},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {49},
number = {8},
pages = {1071-1088},
}