Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604): Difference between revisions

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Revision as of 19:17, 29 February 2024

scientific article; zbMATH DE number 7472010
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English
Speed and biases of Fourier-based pricing choices: a numerical analysis
scientific article; zbMATH DE number 7472010

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    Speed and biases of Fourier-based pricing choices: a numerical analysis (English)
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    10 February 2022
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    option pricing
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    Fourier transforms
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    jump processes
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    pricing errors
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    speed comparisons
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