Fourier space time-stepping for option pricing with Lévy models (Q3622838): Difference between revisions
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Latest revision as of 12:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier space time-stepping for option pricing with Lévy models |
scientific article |
Statements
Fourier space time-stepping for option pricing with Lévy models (English)
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28 April 2009
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Lévy model
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partial integro-differential equation
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American option
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Fourier transform method
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regime-switching model
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