Fourier transform of lookback option price
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Publication:420203
DOI10.5402/2011/518172zbMath1238.91145WikidataQ58689606 ScholiaQ58689606MaRDI QIDQ420203
Hailei Zou, Cheng Wang, Jun Cheng Yin
Publication date: 21 May 2012
Published in: ISRN Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5402/2011/518172
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
65T50: Numerical methods for discrete and fast Fourier transforms
91G10: Portfolio theory
Cites Work