A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (Q5320682): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1137/070683878 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3121226382 / rank | |||
Normal rank | |||
Latest revision as of 23:02, 19 March 2024
scientific article; zbMATH DE number 5582039
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes |
scientific article; zbMATH DE number 5582039 |
Statements
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (English)
0 references
22 July 2009
0 references
option pricing
0 references
Bermudan options
0 references
American options
0 references
convolution
0 references
Lévy processes
0 references
fast Fourier transform
0 references
