A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
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References listed on IDEAS
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More about this item
KeywordsOption pricing; Bermudan options; American options; convolution; Lévy Processes; Fast Fourier Transform;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-03 (All new papers)
- NEP-CMP-2007-03-03 (Computational Economics)
- NEP-KNM-2007-03-03 (Knowledge Management & Knowledge Economy)
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