Hilbert transform, spectral filters and option pricing
Author:
Funder
Economic and Social Research Council
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-018-2881-4.pdf
Reference41 articles.
1. Abate, J., & Whitt, W. (1992a). The Fourier-series method for inverting transforms of probability distributions. Queueing Systems, 10(1–2), 5–88. https://doi.org/10.1007/BF01158520 .
2. Abate, J., & Whitt, W. (1992b). Numerical inversion of probability generating functions. Operations Research Letters, 12(4), 245–251. https://doi.org/10.1016/0167-6377(92)90050-D .
3. Barndorff-Nielsen, O. E. (1998). Processes of normal inverse Gaussian type. Finance and Stochastics, 2(1), 41–68. https://doi.org/10.1007/s007800050032 .
4. Boyd, J. P. (2001). Chebyshev and Fourier spectral methods. Heidelberg: Springer. https://doi.org/10.1002/zamm.19910710715 .
5. Carr, P., & Madan, D. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61–73. https://doi.org/10.21314/JCF.1999.043 .
Cited by 20 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Parallel computation to bidimensional heat equation using MPI/CUDA and FFTW package;Frontiers in Computer Science;2024-01-11
2. A fast Monte Carlo scheme for additive processes and option pricing;Computational Management Science;2023-06-25
3. Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model;Chaos, Solitons & Fractals;2023-05
4. Green transition, investment horizon, and dynamic portfolio decisions;Annals of Operations Research;2022-10-30
5. Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options;Mathematical Problems in Engineering;2022-05-21
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3