A Fourier Transform Method for Spread Option Pricing
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Publication:3563689
DOI10.1137/090750421zbMath1188.91218arXiv0902.3643OpenAlexW2015433547MaRDI QIDQ3563689
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.3643
Gamma, beta and polygamma functions (33B15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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