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"Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy ..."

Pingping Zeng, Yue Kuen Kwok (2014)

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DOI: 10.1137/130922495

access: closed

type: Journal Article

metadata version: 2020-07-30

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Pingping Zeng, Yue Kuen Kwok:
Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach. SIAM J. Sci. Comput. 36(3) (2014)

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