Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models
type: Item
instance of: scholarly article
title: Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models
author: A. S. Grechko
author: Oleg Kudryavtsev
published in: Computational Mathematics and Mathematical Physics
publication date: 2025-01-13T00:00:00Z
Mathematics Subject Classification ID: 65-XX
Mathematics Subject Classification ID: 68-XX
zbMATH DE Number: 7965652
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: Lévy processes
zbMATH Keywords: integral convolution operators
zbMATH Keywords: integral transforms
zbMATH Keywords: numerical methods
zbMATH Keywords: machine learning
zbMATH Keywords: computational mathematical finance
MaRDI profile type: Publication
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DOI: 10.1134/S0965542524701628
description: scientific article; zbMATH DE number 7965652