A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
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Publication:2347464
DOI10.1016/j.spa.2015.03.003zbMath1334.60064arXiv1304.4534OpenAlexW1992917352MaRDI QIDQ2347464
Florian Kleinert, Kees van Schaik
Publication date: 27 May 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.4534
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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