A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes.
R. LordFang FangF. BervoetsCornelis W. OosterleePublished in: SIAM J. Sci. Comput. (2008)
Keyphrases
- high accuracy
- optimization algorithm
- pairwise
- experimental evaluation
- computational complexity
- high quality
- high precision
- detection method
- preprocessing
- highly accurate
- cost function
- classification method
- model selection
- fast fourier transform
- fourier transform
- synthetic data
- clustering method
- computational cost
- significant improvement
- multiscale