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Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
Levendorskii, Segei; Xie, Jiayao - In: The journal of computational finance 15 (2011/12) 3, pp. 71-133
Persistent link: https://www.econbiz.de/10009534164
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American options in Lévy models with stochastic interest rates
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: The journal of computational finance 12 (2009) 4, pp. 51-89
Persistent link: https://www.econbiz.de/10009534611