Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
Pingping Zeng; Yue Kuen Kwok; Wendong Zheng
| Year of publication: |
2015
|
|---|---|
| Authors: | Zeng, Pingping ; Kwok, Yue-Kuen ; Zheng, Wendong |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 7, p. 1-26
|
| Subject: | Finite-maturity timer options | Hilbert transform | stochastic volatility models | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011404362