Fourier space time-stepping for option pricing with Lévy models
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Publication:3622838
DOI10.21314/JCF.2008.178zbMath1175.91181MaRDI QIDQ3622838
Vladimir Surkov, Sebastian Jaimungal, Kenneth R. Jackson
Publication date: 28 April 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Fourier transform methodAmerican optionregime-switching modelpartial integro-differential equationLévy model
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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