Frank Bervoets

Rabobank International, London Branch

Thames Court

1 Queenhithe

London EC 4V 3RL

United Kingdom

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007

Roger Lord, Fang Fang, Frank Bervoets and Cornelis W. Oosterlee

Cardano Risk Management, FF Quant Advisory, Rabobank International, London Branch and Utrecht University - Faculty of Science

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Citation 19

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