Hedging and pricing early-exercise options with complex fourier series expansion
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DOI: 10.1016/j.najef.2019.04.016
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- Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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More about this item
Keywords
American option; Bermuda option; Barrier option; complex Fourier series; early-exercise options; Lévy processes;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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