SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912)
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scientific article; zbMATH DE number 7152537
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION |
scientific article; zbMATH DE number 7152537 |
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SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (English)
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16 January 2020
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swing options
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American option
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early-exercise
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optimal multiple stopping
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exotic options
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fast Fourier transform
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Lévy processes
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basis
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characteristic function
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FFT
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multiple exercise
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