Pitfalls of the fourier transform method in affine models, and remedies
Year of publication: |
May 2016
|
---|---|
Authors: | Levendorskij, Sergej Z. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 1/2, p. 81-134
|
Subject: | Affine models | parabolic (inverse) Fourier transform | moment explosions | Riccati equations | Runge-Kutta method | Optionspreistheorie | Option pricing theory |
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