A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (Q5320682)
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scientific article; zbMATH DE number 5582039
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| English | A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes |
scientific article; zbMATH DE number 5582039 |
Statements
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (English)
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22 July 2009
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option pricing
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Bermudan options
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American options
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convolution
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Lévy processes
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fast Fourier transform
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0.8256646990776062
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0.811998188495636
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0.8105023503303528
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0.8096065521240234
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0.8003630042076111
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