Optimal Fourier Inversion in Semi-analytical Option Pricing
Year of publication: |
2006
|
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Authors: | Lord, Roger ; Kahl, Christian |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | option pricing | Fourier inversion | Carr-Madan | Heston | stochastic volatility | characteristic function | damping | saddlepoint approximations |
Series: | Tinbergen Institute Discussion Paper ; 06-066/2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 837523001 [GVK] hdl:10419/86580 [Handle] RePEc:dgr:uvatin:20060066 [RePEc] |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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