Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437): Difference between revisions

@@ Property / author @@
-Bowen Zhang
@@ Property / author: Bowen Zhang / rank @@
-Normal rank
@@ Property / author @@
-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
-Normal rank
@@ Property / author @@
+Bowen Zhang
@@ Property / author: Bowen Zhang / rank @@
+Normal rank
@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-642-25746-9_10
+Normal rank
@@ Property / OpenAlex ID @@
+W135138975
@@ Property / OpenAlex ID: W135138975 / rank @@
+Normal rank
@@ Property / cites work @@
+On American Options Under the Variance Gamma Process
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Application of the Fast Gauss Transform to Option Pricing
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+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
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+Financial Modelling with Jump Processes
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+A fast algorithm for computing integrals in function spaces: Financial applications
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+Symmetry and duality in Lévy markets
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Option pricing when underlying stock returns are discontinuous
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@@ Property / cites work @@
+Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
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@@ links / mardi / name / links / mardi / name @@
+Publication:2917437