Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Option Pricing by Frame Duality with the Fast Fourier Transform |
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Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (English)
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28 August 2015
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option pricing
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efficient
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fast Fourier transform
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European options
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geometric Asian option
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basis
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Lévy processes
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Heston model
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CGMY model
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COS method
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calibration
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frame projection
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