Valuation of European call options via the fast Fourier transform and the improved Mellin transform
Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
| Year of publication: |
February 2016
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|---|---|
| Authors: | Fadugba, Sunday Emmanuel ; Nwozo, Chuma Raphael |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 2, p. 338-359
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| Subject: | Black-Scholes Partial Differential Equation | European Call Option | Fast Fourier Transform | Improved Mellin Transform | Mellin Transform | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.62028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544533