ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS

DOI10.1142/S0219024907004238zbMath1137.91433MaRDI QIDQ5292280

Nina Boyarchenko, Sergei Levendorskii

Publication date: 20 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Fourier transformfast Fourier transformderivative pricingquadratic term structure models

Mathematics Subject Classification ID

Numerical methods for discrete and fast Fourier transforms (65T50)

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Optimal stopping made easy ⋮ EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL ⋮ Numerical methods for Lévy processes ⋮ Fast and accurate pricing of barrier options under Lévy processes ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

Cites Work

• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
• Design and Estimation of Quadratic Term Structure Models *
• PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

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