2008-02-01
A fast and accurate FFT-based method for pricing early-exercise options under Levy processes
Publication
Publication
SIAM Journal on Scientific Computing
,
Volume 30
p. 1678-
1705
Additional Metadata | |
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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 |
Citation |
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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