Fourier space time-stepping for option pricing with Lévy models
From MaRDI portal
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 method; American option; regime-switching model; partial integro-differential equation; Lévy model
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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