Pricing interest-rate derivatives. A Fourier-transform based approach.
From MaRDI portal
Publication:2473573
DOI10.1007/978-3-540-77066-4zbMath1154.91001OpenAlexW2799488534MaRDI QIDQ2473573
Publication date: 28 February 2008
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-77066-4
fast Fourier transformderivativesoptioninterest rateinverse fast Fourier transformexponential-affine jump diffusion models
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option ⋮ VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS
This page was built for publication: Pricing interest-rate derivatives. A Fourier-transform based approach.
