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Smoothing the payoff for efficient computation of Basket option prices

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References

1998The Variance Gamma Process and Option Pricing1,786 cited
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2016Note on “The smoothing effect of integration in ℝ^{𝕕} and the ANOVA decomposition”37 cited
2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets35 cited

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2020Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing30 cited

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