Pricing Israeli Option with Time-changed Compensation by an FFT-Based High-order Multinomial Tree in Lévy Markets - Wang, Weiwei; Hu, Xiaoping (Computational intelligence and neuroscience, 2022)
Keywords: Algorithms; Compensation; Continuity (mathematics); Efficiency; Fast Fourier transformations; Fourier transforms; Markov analysis; Markov chains; Markov processes; Methods; Numerical analysis; Parameter estimation; Pricing; Random variables; Securities prices; Stochastic processes; Asia; Israel