Precise quantile function estimation from the characteristic function

DOI10.1016/J.SPL.2025.110395MaRDI QIDQ7000799zbMATH OpenFDO

Authors Gero Junike

Publication date 7 April 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110395

zbMATH Keywords

characteristic functionnumerical inversionquantile function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Computational methods for problems pertaining to statistics (62-08) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for trigonometric approximation and interpolation (65T40)

Cites work

• scientific article; zbMATH DE number 3600847 (Why is no real title available?)
• A novel pricing method for European options based on Fourier-cosine series expansions
• Error Bounds for Numerical Inversion of a Probability Characteristic Function
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On the number of terms in the COS method for European option pricing
• Precise option pricing by the COS method -- how to choose the truncation range
• Survival models for heterogeneous populations derived from stable distributions
• The Fourier-series method for inverting transforms of probability distributions

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