A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

✍ Scribed by Lord, R.; Fang, F.; Bervoets, F.; Oosterlee, C. W.

• Book ID: 118191035
• Publisher: Society for Industrial and Applied Mathematics
• Year: 2008
• Tongue: English
• Weight: 427 KB
• Volume: 30
• Category: Article
• ISSN: 1064-8275
• DOI: 10.1137/070683878