A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

Kees Van Schaik, Florian Kleinert, Kees van Schaik

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	3234-3254
Number of pages	20
Journal	Stochastic Processes and their Applications
Volume	125
Issue number	8
DOIs	https://doi.org/10.1016/j.spa.2015.03.003
Publication status	Published - Aug 2015

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title = "A variation of the Canadisation algorithm for the pricing of American options driven by L{\'e}vy processes",

author = "{Van Schaik}, Kees and Florian Kleinert and {van Schaik}, Kees",

note = "http://arxiv.org/abs/1304.4534",

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T1 - A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

AU - Van Schaik, Kees

AU - Kleinert, Florian

AU - van Schaik, Kees

N1 - http://arxiv.org/abs/1304.4534

PY - 2015/8

Y1 - 2015/8

U2 - 10.1016/j.spa.2015.03.003

DO - 10.1016/j.spa.2015.03.003

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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

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