Frank Bervoets

Rabobank International, London Branch

Thames Court

1 Queenhithe

London EC 4V 3RL

United Kingdom

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Scholarly Papers (1)

1.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 998 (28,150)
Citation 12

Abstract:

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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform