Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233)
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scientific article; zbMATH DE number 7282779
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series |
scientific article; zbMATH DE number 7282779 |
Statements
Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (English)
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7 December 2020
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convolution
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Legendre series
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European options
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early-exercise options
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discrete-monitored barrier options
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Lévy process
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