Search Results - subject:"Fast Fourier transform"

Valuation of European call options via the fast Fourier transform and the improved Mellin transform

Fadugba, Sunday Emmanuel; Nwozo, Chuma Raphael - In: Journal of mathematical finance 6 (2016) 2, pp. 338-359

Persistent link: https://www.econbiz.de/10011544533

Numerical analysis on local risk-minimization for exponential Lévy models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011454349

Obtaining cell counts for contingency tables from rounded conditional frequencies

Sage, Andrew J.; Wright, Stephen E. - In: European journal of operational research : EJOR 250 (2016) 1, pp. 91-100

Persistent link: https://www.econbiz.de/10011441370

Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes

Eberlein, Ernst; Eddahbi, M'hamed; Cherif, Sidi Mohamed … - In: Applied mathematical finance 23 (2016) 3/4, pp. 236-260

Persistent link: https://www.econbiz.de/10011704234

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - 2010

.r.t. reviewed parametric statistical families used for direct estimation. Additionally, we shall introduce the Fast Fourier … Transform method of call option pricing developed in [6]. It is intended to compare the reviewed estimation methods empirically. …

Persistent link: https://www.econbiz.de/10010281587

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008492664

Combining VAR Forecast Densities Using Fast Fourier Transform

Ryšánek, Jakub - In: Acta Oeconomica Pragensia 2010 (2010) 5, pp. 72-88

In this paper, I propose the use of fast Fourier transform (FFT) as a convenient tool for combining forecast densities …

Persistent link: https://www.econbiz.de/10008784820

Option Pricing using Fourier Space Time-stepping Framework

Surkov, Vladimir - 2009

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping...

Persistent link: https://www.econbiz.de/10009455281

Valuing commodity options and futures options with changing economic conditions

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533

Persistent link: https://www.econbiz.de/10011476145

Pricing annuity guarantees under a double regime-switching model

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011312087

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