The SINC way : a fast and accurate approach to Fourier pricing
Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli and Pietro Rossi
| Year of publication: |
2022
|
|---|---|
| Authors: | Baschetti, Fabio ; Bormetti, Giacomo ; Romagnoli, Silvia ; Rossi, Pietro |
| Subject: | COS method | Fast Fourier methods | Fourier expansion | Option pricing | Rough Heston model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1965192 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167768