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"A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options ..."

R. Lord et al. (2008)

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DOI: 10.1137/070683878

access: closed

type: Journal Article

metadata version: 2020-07-30

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  - https://dblp.org/rec/journals/siamsc/LordFBO08
R. Lord, Fang Fang, F. Bervoets, Cornelis W. Oosterlee:
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. SIAM J. Sci. Comput. 30(4): 1678-1705 (2008)

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