An FFT-network for Lévy option pricing
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- Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
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KeywordsAmerican options FFT-network Levy processes Exotic options;
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