An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (Q5139234): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: Chebfun / rank | |||
Normal rank | |||
Revision as of 17:40, 28 February 2024
scientific article; zbMATH DE number 7282780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes |
scientific article; zbMATH DE number 7282780 |
Statements
An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (English)
0 references
7 December 2020
0 references
singular Fourier-Padé
0 references
Chebyshev series
0 references
Filon-Clenshaw-Curtis rules
0 references
early-exercise options
0 references
discrete-monitored barrier options
0 references
Lévy process
0 references
