Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517)
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scientific article; zbMATH DE number 6074291
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| English | Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations |
scientific article; zbMATH DE number 6074291 |
Statements
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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Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (English)
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0.7928667068481445
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0.7869082689285278
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0.7857120037078857
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0.7785812616348267
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0.777834951877594
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