Pricing the bank's triggered financial products based on Fourier transform method

MaRDI QIDQ4688982zbMATH OpenFDO

Authors Yifeng Wang, Yuyao Sun, Yichen Jiang

Publication date 22 October 2018

zbMATH Keywords

Fourier transformCIR modeltriggered interest financial product

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for discrete and fast Fourier transforms (65T50)

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