FFT-network for bivariate Lévy option pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
https://link.springer.com/content/pdf/10.1007/s13160-020-00439-7.pdf
Reference28 articles.
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3. Barndorff-Nielsen, O.E.: Processes of normal inverse Gaussian type. Finance Stoch. 2, 41–68 (1998)
4. Black, F., Scholes, M.S.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–654 (1973)
5. Carr, P., Madan, D.B.: Option valuation using the fast Fourier transform. J. Comput. Finance 2, 61–73 (1999)
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1. Option Pricing by Willow Tree Method for Generalized Hyperbolic Lévy Processes;Journal of Mathematics;2023-10-17
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