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Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach

Journal

Applied Mathematical Finance

Subject

Finance

Publishing details

Applied Mathematical Finance 1998 Vol 5:2 p 1-11

Authors / Editors

Cooper I A;Rebonato R

Biographies

Ian Cooper

Publication Year

1998

Project Funder

University Challenge Fund

Publication Research Centre

Institute of Finance and Accounting

Available on ECCH

No


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