2007
A fast method for pricing early-exercise options with the FFT
Publication
Publication
Presented at the
International Conference on Computational Science, Beijing, China
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Springer | |
Lecture Notes in Computer Science | |
International Conference on Computational Science | |
Organisation | Scientific Computing |
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.
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