Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Year of publication: |
2012
|
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Authors: | Pistorius, Martijn ; Stolte, Johannes |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 4, p. 1-34
|
Subject: | Rational approximations | time-changed models | calibration | vanilla option pricing | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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