Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
DOI10.1080/14697688.2020.1736612zbMath1454.91279arXiv1811.09257OpenAlexW3015889394MaRDI QIDQ5139233
Tat Lung Chan (Ron), Nicholas Hale
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.09257
convolutionLévy processLegendre seriesEuropean optionsearly-exercise optionsdiscrete-monitored barrier options
Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Derivative securities (option pricing, hedging, etc.) (91G20)
Uses Software
Cites Work
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