Pricing Israeli Option with Time-changed Compensation by an FFT-Based High-order Multinomial Tree in Lévy Markets

The problem for pricing the Israel option with time-changed compensation was studied based on the high-order recombined multinomial tree by using a fast Fourier transform to approximate a Lévy process. First, the Lévy option pricing model and Fourier transform are introduced. Then, a network model b...

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Detalles Bibliográficos
Autores principales: Wang, Weiwei, Hu, Xiaoping
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9259298/
https://www.ncbi.nlm.nih.gov/pubmed/35814564
http://dx.doi.org/10.1155/2022/9682292

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9259298/
https://www.ncbi.nlm.nih.gov/pubmed/35814564
http://dx.doi.org/10.1155/2022/9682292

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