Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478)
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scientific article; zbMATH DE number 6476811
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| English | Efficient Option Pricing by Frame Duality with the Fast Fourier Transform |
scientific article; zbMATH DE number 6476811 |
Statements
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (English)
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28 August 2015
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option pricing
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efficient
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fast Fourier transform
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European options
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geometric Asian option
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basis
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Lévy processes
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Heston model
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CGMY model
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COS method
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calibration
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frame projection
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0.9482055
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0.92215276
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0.9163406
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0.9115624
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0.9089043
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0.9053645
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0.90190923
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0.9014278
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0.90079886
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