Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
DOI10.1016/j.cam.2018.07.017zbMath1417.91554OpenAlexW2884529618WikidataQ129502475 ScholiaQ129502475MaRDI QIDQ1624661
Jie Cao, Xiaoping Hu, Ying Xiu
Publication date: 16 November 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.07.017
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
Related Items (2)
Cites Work
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