Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series

This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf. Hale and Townsend, An algorithm for the convolution of Legendre series. SIAM J. Sci. Comput., 2014, 36, A1207-A1220), to pricing European-type, early-exercise and discrete-monitored ba...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Quantitative finance 2020-08, Vol.20 (8), p.1307-1324
Hauptverfasser:	Chan, Tat Lung (Ron), Hale, Nicholas
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Convolution Discrete-monitored barrier options Early-exercise options European options Legendre series Lévy process
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!