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Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme Oleksandr Zhylyevskyy1 February 12, 2005
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Document Date: 2005-05-04 04:44:36
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Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme Oleksandr Zhylyevskyy1 February 12, 2005