An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
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DOI: 10.1080/14697688.2020.1736322
Abstract: This paper extends the singular Fourier–Padé (SFP) method proposed by Chan [Singular Fourier–Padé series expansion of European option prices. Quant. Finance, 2018, 18, 1149–1171] for pricing/hedging early-exercise options–Bermudan, American and discrete-monitored barrier options–under a Lévy… read more here.
Keywords: pricing hedging; method; finance; sfp fcc ... See more keywords