Efficient computation of european option prices and their sensitivities with the complex fourier series method
Tat Lung (Ron) Chan
| Year of publication: |
2019
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|---|---|
| Authors: | Chan, Tat Lung (Ron) |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 50.2019, p. 1-23
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| Subject: | Affine stochastic volatility | Complex Fourier series | European options | Exotic options | Forward contracts | Futures | Lévy processes | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility | Derivat | Derivative | Zeitreihenanalyse | Time series analysis |