FFT-network for bivariate Lévy option pricing
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Publication:2024616
DOI10.1007/s13160-020-00439-7zbMath1461.91309OpenAlexW3080103273MaRDI QIDQ2024616
Hoi Ying Wong, Mei Choi Chiu, Weiyin Wang
Publication date: 4 May 2021
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-020-00439-7
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)
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