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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Hindawi
2022
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| 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 |