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

2008-02-01

A fast and accurate FFT-based method for pricing early-exercise options under Levy processes

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SIAM Journal on Scientific Computing , Volume 30 p. 1678- 1705

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Keywords option pricing, Bermudan options, American options, Levy processes
MSC Complexity and performance of numerical algorithms (msc 65Y20)
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher S.I.A.M.
Journal SIAM Journal on Scientific Computing
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Lord, R, Fang, F, Bervoets, F, & Oosterlee, C.W. (2008). A fast and accurate FFT-based method for pricing early-exercise options under Levy processes. SIAM Journal on Scientific Computing, 30, 1678–1705.
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See Also
article
Editorial on three special issues (Vol. 11, 1–3, 2008) of the journal Computing and Visualization in Science devoted to the 8th European Multigrid Conference (EMG)
P. Wesseling, P.W. Hemker (Piet) and C.W. Oosterlee (Kees)
article
Editorial on three special issues (Vol. 11, 1–3, 2008) of the journal Computing and Visualization in Science devoted to the 8th European Multigrid Conference (EMG)
P. Wesseling, P.W. Hemker (Piet) and C.W. Oosterlee (Kees)

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