Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437)
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scientific article; zbMATH DE number 6088205
| Language | Label | Description | Also known as |
|---|---|---|---|
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| English | Fourier Cosine Expansions and Put–Call Relations for Bermudan Options |
scientific article; zbMATH DE number 6088205 |
Statements
Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (English)
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28 September 2012
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early-exercise options
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error analysis
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Fourier-cosine expansions
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option pricing
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put-call parity and duality
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0.8641771
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0.86093634
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0.8535254
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0.84511423
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0.84135896
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0.8397716
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0.8385074
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0.83831733
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0.8371556
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