Pricing using Fourier Space Time - stepping Framework
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چکیده
منابع مشابه
Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy processes). Our numerical algorithms are non-trivial versions of the Fourier space time stepping method to nonlinear path dependent payoff structures, like those in variance products and volatility deriva...
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