Pricing American options by a Fourier transform multinomial tree in a conic market

DOI10.1155/2022/8650500zbMath1499.91178OpenAlexW4297105439MaRDI QIDQ2088436

Publication date: 21 October 2022

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/8650500

Mathematics Subject Classification ID

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)

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