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Geske–Johnson scheme
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characteristic function inversion
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fast Fourier transform
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stochastic volatility model
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Zhylyevskyy, Oleksandr
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Society for Computational Economics - SCE
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Computing in Economics and Finance 2005
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Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
Zhylyevskyy, Oleksandr
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Society for Computational Economics - SCE
-
2005
. Since the joint density must be, in turn, recovered by inverting the joint
characteristic
function
, an unmodified Geskeâ …
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