Singular Fourier–Padé series expansion of European option prices
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Publication:4554487
DOI10.1080/14697688.2017.1414952zbMath1400.91583arXiv1706.06709OpenAlexW2639875259MaRDI QIDQ4554487
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.06709
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series ⋮ An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
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Cites Work
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