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An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing Journal article
Intelligent Information Management, 2012,Volume: 4,Issue: 3,Page: 89-93
Authors:  Deng Ding;  Zuoqiu Weng;  Jingya Zhao
Favorite  |  View/Download:4/0  |  Submit date:2019/07/23
Fast Fourier Transform (Fft)  Bermudan Barrier Option  Conv Method  
An efficient algorithm for Bermudan barrier option pricing Journal article
Applied Mathematics-A Journal of Chinese Universities, 2012,Volume: 27,Issue: 1,Page: 49-58
Authors:  DING Deng;  HUANG Ning-ying;  ZHAO Jing-ya
Favorite  |  View/Download:14/0  |  Submit date:2019/05/22
American Barrier Option  Bermudan Option  Fourier Transform  Fourier-cosine Expansion