Pricing American Options under Levy Jump Models: A Multidimensional Transform Method

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Bibliographic Details
Published in:The Journal of derivatives 2023-12, Vol.31 (2), p.9-35
Main Authors: Beliaeva, Natalia, Chen, Ye, Nawalkha, Sanjay, Sullivan, Michael
Format: Article
Language:English
Online Access:Get full text
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ISSN:1074-1240
2168-8524
DOI:10.3905/jod.2023.1.190