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November 28, 2014

Canadian Excellence

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G. (Joe) Campolieti

Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models


G. Campolieti, R. Makarov

published: 2008 | Research publication | Papers

Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models

Download: PDF (183k) lattice.pdf

revised Nov 24/10

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