Hilbert transform, spectral filters and option pricing (Q2288941)
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scientific article
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| English | Hilbert transform, spectral filters and option pricing |
scientific article |
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Hilbert transform, spectral filters and option pricing (English)
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20 January 2020
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double-barrier option
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discrete monitoring
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Lévy processes
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Spitzer identity
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Wiener-Hopf factorisation
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Hilbert transform
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Fourier transform
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FFT
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\(z\)-transform
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sinc function
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Gibbs phenomenon
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spectral filter
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0.7861415147781372
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0.7811322212219238
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0.7678946852684021
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0.7601054310798645
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