The pricing of compound option under variance gamma process by FFT (Q5079198)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The pricing of compound option under variance gamma process by FFT |
scientific article; zbMATH DE number 7532245
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of compound option under variance gamma process by FFT |
scientific article; zbMATH DE number 7532245 |
Statements
The pricing of compound option under variance gamma process by FFT (English)
0 references
25 May 2022
0 references
compound option
0 references
variance gamma process
0 references
Fourier transform
0 references
esscher transform
0 references
FFT algorithm
0 references
