Quantization meets Fourier: a new technology for pricing options
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Publication:2288923
DOI10.1007/s10479-018-3048-zzbMath1433.91171OpenAlexW2614312424MaRDI QIDQ2288923
Martino Grasselli, Giorgia Callegaro, Lucio Fiorin
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-3048-z
Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Jump processes on general state spaces (60J76)
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