Hedging and Pricing European-Type, Early-Exercise and Discrete Barrier Options Using an Algorithm for the Convolution of Legendre Series
2020 ◽
Vol 20
(8)
◽
pp. 1307-1324
Tat Lung (Ron) Chan
◽
Nicholas Hale
Stefanus C. Maree
◽
Luis Ortiz-Gracia
◽
Cornelis W. Oosterlee
2017 ◽
Vol 136
(4)
◽
pp. 1035-1070
◽
S. C. Maree
◽
L. Ortiz-Gracia
◽
C. W. Oosterlee
2009 ◽
Vol 114
(1)
◽
pp. 27-62
◽
F. Fang
◽
C. W. Oosterlee
2010 ◽
Vol 236
(8)
◽
pp. 891-891
Chris E. Kawcak
◽
C. Wayne McIlwraith
◽
Elwyn C. Firth
1999 ◽
Vol 3
(1)
◽
pp. 41-67
◽
R Zvan
◽
P Forsyth
◽
K Vetzal
Leif B.G. Andersen
◽
Jesper Andreasen
◽
David A. Eliezer
Fabien Le Floc'h
◽
Alexander Prrll