A fast Monte Carlo scheme for additive processes and option pricing
Year of publication: |
2023
|
---|---|
Authors: | Azzone, Michele ; Baviera, Roberto |
Subject: | Additive process | Fast Fourier transform | Lewis formula | Simulation | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process |
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