Singular Fourier–Padé series expansion of European option prices (Q4554487): Difference between revisions

@@ Property / OpenAlex ID @@
+W2639875259
@@ Property / OpenAlex ID: W2639875259 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.06709
@@ Property / arXiv ID: 1706.06709 / rank @@
+Normal rank
@@ Property / cites work @@
+Accurate Evaluation of European and American Options Under the CGMY Process
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3955808
@@ Property / cites work: Q3955808 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Padé-based algorithm for overcoming the Gibbs phenomenon
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+On a high order numerical method for solving partial differential equations in complex geometries
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
+Normal rank
@@ Property / cites work @@
+Rational trigonometric approximations using Fourier series partial sums
+Normal rank
@@ Property / cites work @@
+Robust Padé Approximation via SVD
@@ Property / cites work: Robust Padé Approximation via SVD / rank @@
+Normal rank
@@ Property / cites work @@
+On the Gibbs Phenomenon and Its Resolution
@@ Property / cites work: On the Gibbs Phenomenon and Its Resolution / rank @@
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
@@ Property / cites work: COMPLEX LOGARITHMS IN HESTON-LIKE MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing With V. G. Martingale Components<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Pricing of European Options with Wavelets and the Characteristic Function
+Normal rank
@@ Property / cites work @@
+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
+Normal rank
@@ Property / cites work @@
+FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
+Normal rank
@@ Property / cites work @@
+Continuous and Discrete Nonlinear Approximations Based on Fourier Series
+Normal rank
@@ Property / cites work @@
+BENCHOP – The BENCHmarking project in option pricing
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank