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Keywords: Gauss-Hermite Integration
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (2): 39–60.
Published: 30 November 2005
...Jong Sung Choi; Ho Sam Ki In this paper we develop a numerical method for valuing multivariate contingent claims whose payoffs depend on more than one stochastic variables. This is achieved by mean of Gauss-Hermite Integration, applied to a recursive formulation of multidimensionalintegral to vaIue...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (1): 53–76.
Published: 31 May 2005
...Hosam Ki; Junhwa Ban In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is achieved by means of Gauss-Hermite Integrations, applied to the principal component analysis...
