Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models (Q3460680)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6527658
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models |
scientific article; zbMATH DE number 6527658 |
Statements
FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS (English)
0 references
8 January 2016
0 references
finite-maturity timer options
0 references
Hilbert transform
0 references
stochastic volatility models
0 references
0.7953192591667175
0 references
0.7930566668510437
0 references
0.7758597135543823
0 references
0.7720281481742859
0 references
