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q-fin.CP2019
An SFP--FCC Method for Pricing and Hedging Early-exercise Options under Lévy Processes
Tat Lung, Chan
This paper extends the Singular Fourier--Padé (SFP) method proposed by Chan (2018) to pricing/hedging early-exercise options--Bermudan, American and discrete-monitored barrier opti…
q-fin.CP2018
Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series
Tat Lung Chan, Nicholas Hale
This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf. Hale and Townsend 2014a), to pricing/hedging European-type, earl…
q-fin.CP2017
Singular Fourier-Padé Series Expansion of European Option Prices
Tat Lung Chan
We apply a new numerical method, the singular Fourier-Padé (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in Lévy and affine processes.…