A Fast Method for Pricing Early-Exercise Options with the FFT

R Lord; F Fang; F Bervoets; CW Oosterlee

A Fast Method for Pricing Early-Exercise Options with the FFT

R Lord, F Fang, F Bervoets, CW Oosterlee

Numerical Analysis

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

1 Citation (Scopus)

Original language	Undefined/Unknown
Title of host publication	Computational Science - ICCS 2007
Editors	Yong Shi, GD van Albada, J. Dongarra
Place of Publication	Heidelberg
Publisher	Springer
Pages	415-422
Number of pages	8
ISBN (Print)	3-540-72585-5
Publication status	Published - 2007
Event	7th International Conference Beijing, China, May 2007 - Heidelberg Duration: 27 May 2007 → 30 May 2007

Publication series

Name
Publisher	Springer

Name
Volume	2

Conference

Conference	7th International Conference Beijing, China, May 2007
Period	27/05/07 → 30/05/07

Keywords

Wiskunde en Informatica
Techniek
technische Wiskunde en Informatica
Conf.proc. > 3 pag

Cite this

@inproceedings{0441cdf724bc4a30a6cf1d0d1662786b,

title = "A Fast Method for Pricing Early-Exercise Options with the FFT",

keywords = "Wiskunde en Informatica, Techniek, technische Wiskunde en Informatica, Conf.proc. > 3 pag",

author = "R Lord and F Fang and F Bervoets and CW Oosterlee",

year = "2007",

language = "Undefined/Unknown",

isbn = "3-540-72585-5",

publisher = "Springer",

pages = "415--422",

editor = "Yong Shi and {van Albada}, GD and J. Dongarra",

booktitle = "Computational Science - ICCS 2007",

note = "7th International Conference Beijing, China, May 2007 ; Conference date: 27-05-2007 Through 30-05-2007",

}

TY - GEN

T1 - A Fast Method for Pricing Early-Exercise Options with the FFT

AU - Lord, R

AU - Fang, F

AU - Bervoets, F

AU - Oosterlee, CW

PY - 2007

Y1 - 2007

KW - Wiskunde en Informatica

KW - Techniek

KW - technische Wiskunde en Informatica

KW - Conf.proc. > 3 pag

M3 - Conference contribution

SN - 3-540-72585-5

SP - 415

EP - 422

BT - Computational Science - ICCS 2007

A2 - Shi, Yong

A2 - van Albada, GD

A2 - Dongarra, J.

PB - Springer

CY - Heidelberg

T2 - 7th International Conference Beijing, China, May 2007

Y2 - 27 May 2007 through 30 May 2007

ER -