Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517)
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scientific article; zbMATH DE number 6074291
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations |
scientific article; zbMATH DE number 6074291 |
Statements
30 August 2012
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rational approximations
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time-changed models
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calibration
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vanilla option pricing
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Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (English)
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