Multiplicative noise, fast convolution and pricing (Q2879044)

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Multiplicative noise, fast convolution and pricing
scientific article

    Statements

    title
    Multiplicative noise, fast convolution and pricing (English)
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    author
    Sofia Cazzaniga
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    Giacomo Bormetti
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    publication date
    5 September 2014
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    zbMATH Keywords
    computational finance
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    stochastic processes
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    non-Gaussian option pricing
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    numerical methods for option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65C30
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    65C05
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    zbMATH DE Number
    6340782
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    OpenAlex ID
    W3105866921
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    arXiv ID
    1107.1451
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