FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (Q2909517): Difference between revisions
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Revision as of 09:01, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS |
scientific article |
Statements
FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (English)
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30 August 2012
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rational approximations
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time-changed models
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calibration
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vanilla option pricing
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