Hilbert transform, spectral filters and option pricing (Q2288941)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hilbert transform, spectral filters and option pricing |
scientific article |
Statements
Hilbert transform, spectral filters and option pricing (English)
0 references
20 January 2020
0 references
double-barrier option
0 references
discrete monitoring
0 references
Lévy processes
0 references
Spitzer identity
0 references
Wiener-Hopf factorisation
0 references
Hilbert transform
0 references
Fourier transform
0 references
FFT
0 references
\(z\)-transform
0 references
sinc function
0 references
Gibbs phenomenon
0 references
spectral filter
0 references
0 references
0 references
0 references
0 references
