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

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math.PR2013★ 3 cited

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

Florian Kleinert, Kees van Schaik

We introduce an algorithm for the pricing of finite expiry American options driven by Lévy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouc…