Efficient computation of european option prices and their sensitivities with the complex fourier series method
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference62 articles.
1. Ackerer, D., Filipović, D., & Pulido, S. (2016). The Jacobi stochastic volatility model. Swiss Finance Institute Research Paper Series No. 16–35.
2. Numerical valuation of American options under the CGMY process;Almendral,2004
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