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

2008-02-01

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

Additional Metadata
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 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	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.

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)

Publication