Fourier space time-stepping for option pricing with Lévy models
Year of publication: |
2008/09
|
---|---|
Authors: | Jackson, Kenneth R. ; Jaimungal, Sebastian ; Surkov, Vladimir |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2008/09, 2, p. 1-29
|
Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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