Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model (Q3513243)
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scientific article; zbMATH DE number 5307774
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| English | Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model |
scientific article; zbMATH DE number 5307774 |
Statements
6 August 2008
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exponential Levy model
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bilateral Laplace transformation
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measure change
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foreign currency options
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fast Fourier transform
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0.8137063384056091
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0.8096065521240234
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0.804127037525177
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0.8017637729644775
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