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Mark Broadie, Yusaku Yamamoto. Application of the Fast Gauss Transform to Option Pricing. Management Science, 49(8):1071-1088, 2003. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent OptionsM. Broadie, Y. Yamamoto. ior, 53(5):764-779, 2005. [doi]
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