Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
Year of publication: |
2020
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Authors: | Chan, Tat Lung ; Hale, Nicholas |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 8, p. 1307-1324
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Subject: | Convolution | Discrete-monitored barrier options | Early-exercise options | European options | Legendre series | Lévy process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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