On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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Publication:972768
DOI10.1016/j.cam.2010.02.037zbMath1192.91176OpenAlexW2128109737MaRDI QIDQ972768
Rainer Schöbel, Robert Frontczak
Publication date: 21 May 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.037
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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