Error analysis in Fourier methods for option pricing
Fabián Crocce, Juho Häppölä, Jonas Kiessling and Raúl Tempone
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Crocce, Fabián ; Häppölä, Juho ; Kiessling, Jonas ; Tempone, Raúl |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017, 1, p. 53-82
|
| Subject: | European options | Fourieir methods | error analysis | trapezoid quadrature | Lévy processes | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.327 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691613