[PDF][PDF] The relative efficiency of numerical methods for pricing American options under Lévy processes
O Kudryavtsev, V Zherder - researchgate.net
We analyze properties of prices of American options under Lévy processes and the related
difficulties for design of accurate and efficient numerical methods for pricing of American …
difficulties for design of accurate and efficient numerical methods for pricing of American …
[PDF][PDF] The relative efficiency of numerical methods for pricing American options under Lévy processes
S Levendorskiı, O Kudryavtsev, V Zherder - academia.edu
We analyze properties of prices of American options under Lévy processes and the related
difficulties for design of accurate and efficient numerical methods for pricing of American …
difficulties for design of accurate and efficient numerical methods for pricing of American …
The Relative Efficiency of Numerical Methods for Pricing American Options Under LéVy Processes
S Levendorskii, OE Kudryavtsev… - Journal of …, 2006 - papers.ssrn.com
We analyze properties of prices of American options under Lévy processes and the related
difficulties for design of accurate and efficient numerical methods for pricing of American …
difficulties for design of accurate and efficient numerical methods for pricing of American …
The relative efficiency of numerical methods for pricing American options under Lévy processes
S Levendorskiǐ, O Kudryavtsev, V Zherder - Journal of Computational …, 2005 - elibrary.ru
We analyze properties of prices of American options under Lévy processes and the related
difficulties for design of accurate and efficient numerical methods for pricing of American …
difficulties for design of accurate and efficient numerical methods for pricing of American …