Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

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Publication:2407470

DOI10.1007/s00211-016-0858-2zbMath1378.91124OpenAlexW3125278781MaRDI QIDQ2407470

Luis Ortiz-Gracia, S. C. Maree, Cornelis W. Oosterlee

Publication date: 29 September 2017

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/25355



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