Inverting Analytic Characteristic Functions and Financial Applications

DOI10.1137/110830319zbMath1282.60021OpenAlexW1972354656MaRDI QIDQ2873134

Liming Feng, Xiong Lin

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110830319

zbMATH Keywords

Fourier transformoption pricingHilbert transformcharacteristic functiontrapezoidal rulesinc expansionextreme strike

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Financial applications of other theories (91G80) Numerical methods for integral transforms (65R10) Numerical methods in Fourier analysis (65T99)

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