A Fast Method for Pricing Early-Exercise Options with the FFT

Conference paper (2007)

Authors

R Lord External organisation
F Fang Old - EWI Sect. Numerical Analysis
F Bervoets External organisation
C.W. Oosterlee Numerical Analysis - EEMCS
Research Group
Old - EWI Sect. Numerical Analysis
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Published Date

2007

Language

Undefined/Unknown

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Research Group

Old - EWI Sect. Numerical Analysis