"Pricing early-exercise and discrete barrier options by Shannon wavelet ..."

S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee (2017)

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DOI: 10.1007/S00211-016-0858-2

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type: Journal Article

metadata version: 2023-05-31

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S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee:
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Numerische Mathematik 136(4): 1035-1070 (2017)

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