Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 15:37, 8 February 2024
scientific article; zbMATH DE number 7282779
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series |
scientific article; zbMATH DE number 7282779 |
Statements
Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (English)
0 references
7 December 2020
0 references
convolution
0 references
Legendre series
0 references
European options
0 references
early-exercise options
0 references
discrete-monitored barrier options
0 references
Lévy process
0 references
