Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models

DOI10.1134/s0965542524701628MaRDI QIDQ6661387

Oleg Kudryavtsev, A. S. Grechko

Publication date: 13 January 2025

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

integral transformsLévy processesnumerical methodsWiener-Hopf factorizationmachine learningintegral convolution operatorscomputational mathematical finance

Mathematics Subject Classification ID

Numerical analysis (65-XX) Computer science (68-XX)

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