Hilbert transform, spectral filters and option pricingh
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
| Year of publication: |
2019
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|---|---|
| Authors: | Phelan, Carolyn E. ; Marazzina, Daniele ; Fusai, Gianluca ; Germano, Guido |
| Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 273-298
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| Subject: | Double-barrier option | Discrete monitoring | Lévy processes | Spitzer identity | Wiener–Hopf factorisation | Hilbert transform | Fourier transform | FFT | z-Transform | Sinc function | Gibbs phenomenon | Spectral filter | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2881-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012157552