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Search: subject:"Fractional Fourier Transform"
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Revisiting variance gamma pricing : an application to S&P500 index options
Mozumder, Sharif
;
Sorwar, Ghulam
;
Dowd, Kevin
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
Saved in:
2
Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef
(
contributor
);
Fandel, G.
(
contributor
); …
-
2008
running a
Fractional
Fourier
Transform
or by applying the Integrated Edgeworth Expansion approach. The latter is a new …
Persistent link: https://www.econbiz.de/10013521005
Saved in:
3
Pricing of bond options : unspanned stochastic volatility and random field models
Repplinger, Detlef
-
2008
Persistent link: https://www.econbiz.de/10013278100
Saved in:
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