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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

, , , and . SIAM J. Sci. Comput., 30 (4): 1678--1705 (January 2008)
DOI: 10.1137/070683878

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Le-acutevy Processes., , , and . SIAM J. Sci. Comput., 30 (4): 1678-1705 (2008)A Fast Method for Pricing Early-Exercise Options with the FFT., , , and . International Conference on Computational Science (2), volume 4488 of Lecture Notes in Computer Science, page 415-422. Springer, (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes, , , and . SIAM J. Sci. Comput., 30 (4): 1678--1705 (January 2008)