A novel Fourier transform B-spline method for option pricing
Gareth G. Haslip and Vladimir K. Kaishev
| Year of publication: |
September 2015
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|---|---|
| Authors: | Haslip, Gareth G. ; Kaishev, Vladimir K. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015, 1, p. 41-74
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| Subject: | continuous-time semimartingale models | option pricing | stochastic volatility | Fourier transform | closed-form solutions | B-splines | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480709