A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464)
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scientific article; zbMATH DE number 6440581
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| English | A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes |
scientific article; zbMATH DE number 6440581 |
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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0.7986477613449097
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0.7914420366287231
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0.7896668910980225
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0.7806769013404846
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0.776996910572052
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