A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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Publication:5320682
DOI10.1137/070683878zbMath1170.91389OpenAlexW3121226382MaRDI QIDQ5320682
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Publication date: 22 July 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070683878
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