Singular Fourier–Padé series expansion of European option prices

DOI10.1080/14697688.2017.1414952zbMath1400.91583arXiv1706.06709OpenAlexW2639875259MaRDI QIDQ4554487

Tat Lung Chan (Ron)

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1706.06709

zbMATH Keywords

Lévy processesaffine processesEuropean-type optionssingular Fourier-Padé series

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series ⋮ An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

Uses Software

• BENCHOP

Cites Work

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