A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
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More about this item
Keywords
Option pricing; Bermudan options; American options; convolution; Lévy Processes; Fast Fourier Transform;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2007-03-03 (Computational Economics)
- NEP-KNM-2007-03-03 (Knowledge Management and Knowledge Economy)
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