Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050): Difference between revisions

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Latest revision as of 11:51, 30 July 2024

scientific article; zbMATH DE number 6849038
Language Label Description Also known as
English
Magic Points in Finance: Empirical Integration for Parametric Option Pricing
scientific article; zbMATH DE number 6849038

    Statements

    Magic Points in Finance: Empirical Integration for Parametric Option Pricing (English)
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    12 March 2018
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    parametric integration
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    Fourier pricing
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    magic point interpolation
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    empirical interpolation
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    offline-online decomposition
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    calibration
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    affine processes
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    Fourier transform
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    sparse integration
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