Pricing two-asset rainbow options with the fast Fourier transform (Q6112085)
From MaRDI portal
scientific article; zbMATH DE number 7708875
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing two-asset rainbow options with the fast Fourier transform |
scientific article; zbMATH DE number 7708875 |
Statements
Pricing two-asset rainbow options with the fast Fourier transform (English)
0 references
7 July 2023
0 references
characteristic function
0 references
fast Fourier transform
0 references
rainbow option
0 references
three-factor stochastic volatility
0 references
two-factor geometric Brownian motion
0 references
