Lookback option pricing using the Fourier transform B-spline method (Q5245351)
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scientific article; zbMATH DE number 6423398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lookback option pricing using the Fourier transform B-spline method |
scientific article; zbMATH DE number 6423398 |
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Lookback option pricing using the Fourier transform B-spline method (English)
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8 April 2015
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lookback option pricing
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Fourier transform
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B-spline interpolation
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Spitzer formula
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jump diffusion
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variance gamma
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