On the application of spectral filters in a Fourier option pricing technique
M.J. Ruijter, M. Versteegh and C.W. Oosterlee
| Year of publication: |
September 2015
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|---|---|
| Authors: | Ruijter, Marjon ; Versteegh, M. ; Oosterlee, Cornelis Willebrordus |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015, 1, p. 75-106
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| Subject: | Fourier cosine expansion method | spectral filters | European options | variance gamma | portfolio loss distribution | Gibbs phenomenon | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| 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/10011480718