Pages that link to "Item:Q2503998"
From MaRDI portal
The following pages link to Double-exponential fast Gauss transform algorithms for pricing discrete lookback options (Q2503998):
Displaying 7 items.
- Fourier transform of lookback option price (Q420203) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Multiplicative noise, fast convolution and pricing (Q2879044) (← links)
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
- Application of the Fast Gauss Transform to Option Pricing (Q3114865) (← links)
- Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (Q6098033) (← links)