The SINC way: a fast and accurate approach to Fourier pricing (Q5072903)
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scientific article; zbMATH DE number 7518197
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The SINC way: a fast and accurate approach to Fourier pricing |
scientific article; zbMATH DE number 7518197 |
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The SINC way: a fast and accurate approach to Fourier pricing (English)
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5 May 2022
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option pricing
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rough Heston model
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Fourier expansion
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COS method
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fast Fourier methods
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