Pricing American options by a Fourier transform multinomial tree in a conic market
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Publication:2088436
DOI10.1155/2022/8650500zbMath1499.91178OpenAlexW4297105439MaRDI QIDQ2088436
Publication date: 21 October 2022
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2022/8650500
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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