FFT-network for bivariate Lévy option pricing
type: Item
instance of: scholarly article
title: FFT-network for bivariate Lévy option pricing
zbMATH Open document ID: 1461.91309
author: Mei Choi Chiu
author: Weiyin Wang
author: Hoi Ying Wong
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2021-05-04T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 42A38
zbMATH DE Number: 7343411
zbMATH Keywords: option pricing
zbMATH Keywords: fast Fourier transform
zbMATH Keywords: lattice approach
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
full work available at URL: s13160-020-00439-7
OpenAlex ID: W3080103273
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DOI: 10.1007/S13160-020-00439-7
description: scientific article; zbMATH DE number 7343411