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The SINC way: a fast and accurate approach to Fourier pricing - MaRDI portal

The SINC way: a fast and accurate approach to Fourier pricing (Q5072903)

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scientific article; zbMATH DE number 7518197
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English
The SINC way: a fast and accurate approach to Fourier pricing
scientific article; zbMATH DE number 7518197

    Statements

    title
    The SINC way: a fast and accurate approach to Fourier pricing (English)
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    author
    Fabio Baschetti
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    Pietro Rossi
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    Giacomo Bormetti
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    Silvia Romagnoli
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    publication date
    5 May 2022
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    zbMATH Keywords
    option pricing
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    rough Heston model
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    Fourier expansion
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    COS method
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    fast Fourier methods
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    cites work
    Volatility is rough
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    Q5649230
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    Q4942767
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    42A38
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    91G60
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    zbMATH DE Number
    7518197
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    OpenAlex ID
    W3199978123
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    arXiv ID
    2009.00557
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