Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
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Publication:4682701
DOI10.1080/1350486X.2016.1159918zbMath1396.91803OpenAlexW3124063987MaRDI QIDQ4682701
Publication date: 19 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2016.1159918
Riccati equationsRunge-Kutta methodaffine modelsmoment explosionsparabolic (inverse) Fourier transform
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Related Items (8)
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates ⋮ SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Quantization meets Fourier: a new technology for pricing options
Uses Software
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