Hilbert transform, spectral filters and option pricing (Q2288941): Difference between revisions

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Revision as of 11:46, 21 July 2024

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Hilbert transform, spectral filters and option pricing
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    Hilbert transform, spectral filters and option pricing (English)
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    20 January 2020
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    double-barrier option
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    discrete monitoring
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    Lévy processes
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    Spitzer identity
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    Wiener-Hopf factorisation
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    Hilbert transform
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    Fourier transform
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    FFT
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    \(z\)-transform
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    sinc function
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    Gibbs phenomenon
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    spectral filter
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