Edouard Berthe

University of Queensland

St Lucia

Brisbane, Queensland 4072

Australia

École Centrale Paris

Paris

France

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Scholarly Papers (1)

1.

A Shannon Wavelet Method for Pricing Foreign Exchange Options under the Heston Multi-Factor CIR Model

Number of pages: 30 Posted: 09 Sep 2017
Edouard Berthe, Duy-Minh Dang and Luis Ortiz-Gracia
University of Queensland, University of Queensland - School of Mathematics and Physics and University of Barcelona
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Abstract:

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hybrid Monte Carlo Partial Differential Equation approach, Shannon wavelet, foreign exchange, multi-factor Cox-Ingersoll-Ross, dimension reduction