Lord, Roger; Fang, Fang; Bervoets, Frank; Oosterlee, Kees - Volkswirtschaftliche Fakultät, … - 2007
A fast and accurate method for pricing early exercise and certain exotic options in computational finance is presented. The method is based on a quadrature technique and relies heavily on Fourier transformations. The main idea is to reformulate the well-known risk-neutral valuation formula by...