Option valuation, time-changed processes and the fast Fourier transform

DOI10.1080/14697680701207456zbMath1135.91360OpenAlexW2032366405MaRDI QIDQ3498557

Oscar Gutiérrez

Publication date: 15 May 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701207456

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Unnamed Item
• Processes of normal inverse Gaussian type
• Time Changes for Lévy Processes
• A Theory of the Term Structure of Interest Rates
• Option Pricing With V. G. Martingale Components¹
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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