ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM (Q5234011)
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scientific article; zbMATH DE number 7102645
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM |
scientific article; zbMATH DE number 7102645 |
Statements
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM (English)
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9 September 2019
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spread options
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Fourier transform
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numerical methods
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two-dimensional Parseval's identity
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FFTW
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