R. Lord, F. Fang, F. Bervoets, C. W. Oosterlee. A Fast Method for Pricing Early-Exercise Options with the FFT. In Yong Shi, G. Dick van Albada, Jack Dongarra, Peter M. A. Sloot, editors, Computational Science - ICCS 2007, 7th International Conference, Beijing, China, May 27 - 30, 2007, Proceedings, Part II. Volume 4488 of Lecture Notes in Computer Science, pages 415-422, Springer, 2007. [doi]
Abstract is missing.