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option pricing under Lévy processes

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Figure

Table 1: Prices of European and American call options
Table 3: European and American put options under JD (E = $100, t = 0, ∆t = 0.5 years, L = 10, N = 512 r = 0.08, q = 0, σ = 0.10, and λ = 5) European Bermudan (S, σ J , µ J ) HES FD Q-FFT FD Q-FFT10 (80, 0.02, 0.0) 16.1006 16.1023 16.1006 19.6008 19.6008 (9

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