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ReferenceTitleLink
Hu, Z., Kerkhof, J., McCloud, P. and Wackertapp, J. (2006)Cutting edges using domain integration

Abstract

"Zhengyun Hu, Jeroen Kerkhof, Paul McCloud and Jorg Wackertapp present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. This method can eliminate almost all numerical noises in derivatives pricing, and therefor offers significant advantages over conventional trees in accuracy and computational efficiency."


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