Pricing Bermudan options in Lévy process models (Q2873138)
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scientific article; zbMATH DE number 6249470
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| English | Pricing Bermudan options in Lévy process models |
scientific article; zbMATH DE number 6249470 |
Statements
23 January 2014
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Lévy process
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Bermudan option
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early exercise boundary
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optimal stopping
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Fourier transform
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Hilbert transform
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sinc methods
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fast Fourier transform
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analytic characteristic function
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Pricing Bermudan options in Lévy process models (English)
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0.8551028370857239
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0.8283129930496216
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0.8263214826583862
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0.8238911628723145
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0.821520984172821
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