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Fast Fourier Transform and Option Pricing
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-3-540-30788-4_18openalex-extracted
A Didactic Note on Affine Stochastic Volatility Models
inferredcites →https://doi.org/10.1007/978-3-662-12429-1_10openalex-extracted
Spread Option Valuation and the Fast Fourier Transform
inferredcites →https://doi.org/10.1007/s11147-009-9034-5openalex-extracted
Quadratic hedging in affine stochastic volatility models
inferredcites →https://doi.org/10.1016/0165-1684(90)90158-uopenalex-extracted
Fast fourier transforms: A tutorial review and a state of the art
inferredcites →https://doi.org/10.1016/s0304-405x(03)00171-5openalex-extracted
Time-changed Lévy processes and option pricing
inferredcites →https://doi.org/10.1080/135048698334691openalex-extracted
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
inferredcites →https://doi.org/10.1086/209749openalex-extracted
New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
inferredcites →https://doi.org/10.1086/296519openalex-extracted
The Variance Gamma (V.G.) Model for Share Market Returns
inferredcites →https://doi.org/10.1088/1469-7688/4/3/008openalex-extracted
A new Fourier transform algorithm for value-at-risk
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1109/icassp.1998.681704openalex-extracted
FFTW: an adaptive software architecture for the FFT
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00299.xopenalex-extracted
OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00338.xopenalex-extracted
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00342.xopenalex-extracted
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
inferredcites →https://doi.org/10.1137/0913039openalex-extracted
A Generalized Prime Factor FFT Algorithm for any $N = 2^p 3^q 5^r $
inferredcites →https://doi.org/10.1142/9789814280112_0015openalex-extracted
DISCRETE-TIME VARIANCE-OPTIMAL HEDGING IN AFFINE STOCHASTIC VOLATILITY MODELS
inferredcites →https://doi.org/10.1214/105051606000000178openalex-extracted
Variance-optimal hedging for processes with stationary independent increments
inferredcites →https://doi.org/10.1214/aoap/1060202833openalex-extracted
Affine processes and applications in finance
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-extracted
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.21314/jcf.2002.077openalex-extracted
Fast Fourier transform for discrete Asian options
inferredcites →https://doi.org/10.21314/jcf.2004.121openalex-extracted
Option pricing by transform methods: extensions, unification and error control
inferredcites →https://doi.org/10.21314/jcf.2005.137openalex-extracted
Option pricing using the fractional FFT
inferredcites →https://doi.org/10.2139/ssrn.157733openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
inferredcites →https://doi.org/10.2139/ssrn.269491openalex-extracted
Fast Fourier Transform for Discrete Asian Options
inferredcites →https://doi.org/10.2139/ssrn.882009openalex-extracted
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques
inferredcites →https://doi.org/10.3905/jod.2004.434538openalex-extracted
Introduction to Fast Fourier Transform in Finance
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