An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (Q5139234): Difference between revisions
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Revision as of 19:58, 5 March 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)
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7 December 2020
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singular Fourier-Padé
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Chebyshev series
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Filon-Clenshaw-Curtis rules
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early-exercise options
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discrete-monitored barrier options
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Lévy process
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