A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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Publication:5320682
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- Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation
- An improved convolution algorithm for discretely sampled Asian options
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Fast and accurate calculation of American option prices
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