The SINC way : a fast and accurate approach to Fourier pricing
Year of publication: |
2022
|
---|---|
Authors: | Baschetti, Fabio ; Bormetti, Giacomo ; Romagnoli, Silvia ; Rossi, Pietro |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 427-446
|
Subject: | COS method | Fast Fourier methods | Fourier expansion | Option pricing | Rough Heston model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
-
Moment explosions in the rough Heston model
Gerhold, Stefan, (2019)
-
Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa, (2015)
-
Rational approximation of the rough Heston solution
Gatheral, Jim, (2019)
- More ...
-
Baschetti, Fabio, (2020)
-
Deep Calibration With Random Grids
Baschetti, Fabio, (2023)
-
Rossi, Pietro, (2020)
- More ...