university website Publications by Year
  • sign in
  • Scientific Computing /
  • Lecture Notes in Computer Science /
  • In Proceedings
  • Search

C.W. Oosterlee (Kees), R. Lord, F. Fang and F. Bervoets

2007

A fast method for pricing early-exercise options with the FFT

Publication

Publication

Presented at the International Conference on Computational Science, Beijing, China

Additional Metadata
Keywords option pricing, FFT, early-exercise options
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher Springer
Series Lecture Notes in Computer Science
Conference International Conference on Computational Science
Organisation Scientific Computing
Citation
APA Style
  • AAA Style
  • APA Style
  • Cell Style
  • Chicago Style
  • Harvard Style
  • IEEE Style
  • MLA Style
  • Nature Style
  • Vancouver Style
  • American-Institute-of-Physics Style
  • Council-of-Science-Editors Style
  • BibTex Format
  • Endnote Format
  • RIS Format
  • CSL Format
  • DOIs only Format
Oosterlee, C.W, Lord, R, Fang, F, & Bervoets, F. (2007). A fast method for pricing early-exercise options with the FFT. In Lecture Notes in Computer Science (pp. 415–422). Springer.
Free Full Text ( Final Version , 386kb ) cover

See Also
inProceedings
Multigrid preconditioners for Bi-CGSTAB for the sparse-grid solution of high-dimensional anisotropic diffusion equation
H. bin Zubair, C.C.W. Leentvaar and C.W. Oosterlee (Kees)
inProceedings
Multigrid preconditioners for Bi-CGSTAB for the sparse-grid solution of high-dimensional anisotropic diffusion equation
H. bin Zubair, C.C.W. Leentvaar and C.W. Oosterlee (Kees)

university website
  • Address

    • Centrum Wiskunde & Informatica
    • Science Park 123 | 1098 XG Amsterdam | the Netherlands
  • Publishing at CWI

    • Open Science Portal
    • Submit Your CWI Work
  • Questions or comments?

    • repository@cwi.nl
artudis website

Workflow

Workflow

Add Content


User Publication Person Organisation Collection
Close