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Search: subject:"Fourier inversion"
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Fourier inversion
8
stochastic volatility
7
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4
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4
characteristic function
4
damping
4
option pricing
4
saddlepoint approximations
4
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Kahl, Christian
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
2
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
3
Optimal
Fourier
inversion
in semi-analytical option pricing
Lord, Roger
;
Kahl, Christian
-
2007
-
This version: 10th May 2007
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10011349177
Saved in:
4
Optimal
Fourier
Inversion
in Semi-analytical Option Pricing
Lord, Roger
;
Kahl, Christian
-
2006
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10010325539
Saved in:
5
Optimal
Fourier
Inversion
in Semi-analytical Option Pricing
Lord, Roger
;
Kahl, Christian
-
Tinbergen Institute
-
2006
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10005209502
Saved in:
6
Optimal
Fourier
Inversion
in Semi-analytical Option Pricing
Lord, Roger
;
Kahl, Christian
-
Tinbergen Instituut
-
2006
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10011256210
Saved in:
7
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
Byström, Hans
-
2000
calculated through
Fourier-Inversion
. These call option prices are compared to Black-Scholes prices as well as observed market …
Persistent link: https://www.econbiz.de/10013208410
Saved in:
8
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
Byström, Hans
-
Nationalekonomiska Institutionen, Ekonomihögskolan
-
2000
calculated through
Fourier-Inversion
. These call option prices are compared to Black-Scholes prices as well as observed market …
Persistent link: https://www.econbiz.de/10005190591
Saved in:
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