Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604)
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scientific article; zbMATH DE number 7472010
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| English | Speed and biases of Fourier-based pricing choices: a numerical analysis |
scientific article; zbMATH DE number 7472010 |
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Speed and biases of Fourier-based pricing choices: a numerical analysis (English)
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10 February 2022
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option pricing
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Fourier transforms
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jump processes
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pricing errors
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speed comparisons
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0.8126662373542786
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0.8124083280563354
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0.8042962551116943
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0.7901620268821716
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0.7826183438301086
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