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Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
Zeng, Pingping, Kwok, Yue KuenVolume:
36
Language:
english
Journal:
SIAM Journal on Scientific Computing
DOI:
10.1137/130922495
Date:
January, 2014
File:
PDF, 521 KB
english, 2014