Robustness of quadratic hedging strategies in finance via Fourier transforms
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Publication:898933
DOI10.1016/j.cam.2015.09.005zbMath1331.91174OpenAlexW1769413159MaRDI QIDQ898933
Michèle Vanmaele, Catherine Daveloose, Asma Khedher
Publication date: 21 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.005
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
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