A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes

R. Lord, F. Fang, F. Bervoets, Cornelis W. Oosterlee. A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. SIAM J. Scientific Computing, 30(4):1678-1705, 2008. [doi]

Abstract

Abstract is missing.