A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
DOI10.1007/s11147-022-09186-yzbMath1495.91131OpenAlexW2895557859MaRDI QIDQ2165398
Jie Chen, Lingfei Li, Liaoyuan Fan, Gongqiu Zhang
Publication date: 19 August 2022
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-022-09186-y
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)
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Cites Work
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