The SINC way: a fast and accurate approach to Fourier pricing

DOI10.1080/14697688.2021.1965192zbMath1487.91133arXiv2009.00557OpenAlexW3199978123MaRDI QIDQ5072903

Fabio Baschetti, Pietro Rossi, Giacomo Bormetti, Silvia Romagnoli

Publication date: 5 May 2022

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

Full work available at URL: https://arxiv.org/abs/2009.00557

zbMATH Keywords

Fourier expansionoption pricingCOS methodrough Heston modelfast Fourier methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Related Items (1)

A fast Monte Carlo scheme for additive processes and option pricing

Cites Work

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