The pricing of compound option under variance gamma process by FFT (Q5079198)
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scientific article; zbMATH DE number 7532245
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of compound option under variance gamma process by FFT |
scientific article; zbMATH DE number 7532245 |
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The pricing of compound option under variance gamma process by FFT (English)
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25 May 2022
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compound option
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variance gamma process
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Fourier transform
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esscher transform
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FFT algorithm
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