Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050)
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scientific article; zbMATH DE number 6849038
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Magic Points in Finance: Empirical Integration for Parametric Option Pricing |
scientific article; zbMATH DE number 6849038 |
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Magic Points in Finance: Empirical Integration for Parametric Option Pricing (English)
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12 March 2018
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parametric integration
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Fourier pricing
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magic point interpolation
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empirical interpolation
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offline-online decomposition
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calibration
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affine processes
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Fourier transform
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sparse integration
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