Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach (Q2878964)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach |
scientific article |
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Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach (English)
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5 September 2014
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fast Hilbert transform
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time-changed Lévy processes
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barrier options
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dividend-ruin model
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Bermudan options
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