A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes |
scientific article |
Statements
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (English)
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27 May 2015
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American options
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optimal stopping
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Lévy processes
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