Swing option pricing by dynamic programming with B-spline density projection
Year of publication: |
2019
|
---|---|
Authors: | Kirkby, J. Lars ; Deng, Shijie |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-53
|
Subject: | Swing options | American option | early-exercise | optimal multiple stopping | exotic options | fast Fourier transform | L évy processes | basis | characteristic function | FFT | multiple exercise | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Dynamische Optimierung | Dynamic programming | Suchtheorie | Search theory |
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