Recombined multinomial tree based on saddle-point approximation and its application to Levy models options pricing
Hu, Xiaoping, Xiu, Ying, Cao, JieVolume:
346
Language:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2018.07.017
Date:
January, 2019
File:
PDF, 354 KB
english, 2019