Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
type: Item
instance of: scholarly article
zbMATH Open document ID: 1246.91151
DOI: 10.1142/S0219024912500318
author: Martijn R. Pistorius
author: Johannes Stolte
published in: International Journal of Theoretical and Applied Finance
publication date: 2012-08-30T00:00:00Z
full work available at URL: https://arxiv.org/abs/1203.6899
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6074291
zbMATH Keywords: rational approximations
zbMATH Keywords: time-changed models
zbMATH Keywords: calibration
zbMATH Keywords: vanilla option pricing
MaRDI profile type: Publication
arXiv ID: 1203.6899
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OpenAlex ID: W3122698138
title: Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
description: scientific article; zbMATH DE number 6074291