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Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189
Persistent link: https://www.econbiz.de/10010529637
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Hedging and pricing early-exercise options with complex fourier series expansion
Chan, Tat Lung - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25
Persistent link: https://www.econbiz.de/10012666044
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Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
Chan, Tat Lung; Hale, Nicholas - In: Quantitative finance 20 (2020) 8, pp. 1307-1324
Persistent link: https://www.econbiz.de/10012262664
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An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
Chan, Tat Lung - In: Quantitative finance 20 (2020) 8, pp. 1325-1343
Persistent link: https://www.econbiz.de/10012262665
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Adaptive radial basis function methods for pricing options under jump-diffusion models
Chan, Tat Lung - In: Computational economics 47 (2016) 4, pp. 623-643
Persistent link: https://www.econbiz.de/10011712485