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

Conference Paper (2007)

Author(s)

R Lord (External organisation)

Fang Fang (TU Delft - Old - EWI Sect. Numerical Analysis)

F Bervoets (External organisation)

C.W. Oosterlee (TU Delft - Numerical Analysis)

Research Group

Old - EWI Sect. Numerical Analysis

Techniek Conf.proc. > 3 pag Wiskunde en Informatica Technische Wiskunde en Informatica

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Publication Year

2007

Research Group

Old - EWI Sect. Numerical Analysis

Pages (from-to)

415-422

ISBN (print)

3-540-72585-5

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