Swing option pricing by dynamic programming with B-spline density projection
J. Lars Kirkby and Shi-Jie Deng
| 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 | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500389 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012183215