FFT based option pricing
Szymon Borak ; Kai Detlefsen ; Wolfgang Härdle
| Alternative title: | fast Fourier transform based option pricing |
|---|---|
| Year of publication: |
2005
|
| Authors: | Borak, Szymon ; Detlefsen, Kai ; Härdle, Wolfgang |
| Publisher: |
Berlin : Humboldt-Univ., SFB 469 Economic Risk |
| Extent: | 18 S. graph. Darst. |
|---|---|
| Series: | Discussion paper / Humboldt-Universität zu Berlin, SFB 649 Economic Risk. - Berlin : Humboldt-Univ., SFB 649, ISSN 1860-5656. - Vol. 2005,011 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | FFT = fast Fourier transform |
| Classification: | Investition, Finanzierung |
| Source: |
Persistent link: https://www.econbiz.de/10004246200