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~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
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Fast Fourier Transform
2
American options
1
Bermudan options
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Calibration
1
Lévy Processes
1
Numerical Integration
1
Option pricing
1
Stochastic Volatility Models
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convolution
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Bervoets, Frank
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Fang, Fang
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Kilin, Fiodar
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Lord, Roger
1
Oosterlee, Kees
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Computer Science
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Department of Economics, Iowa State University
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Dipartimento di Economia, Università degli Studi di Perugia
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Economics Department, Queen's University
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Frankfurt School of Finance and Management
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Santa Fe Institute
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Society for Computational Economics - SCE
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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University of Bonn, Germany
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Økonomisk Institut, Københavns Universitet
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A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
Lord, Roger
;
Fang, Fang
;
Bervoets, Frank
;
Oosterlee, Kees
-
Volkswirtschaftliche Fakultät, …
-
2007
dealt with numerically by using the
Fast
Fourier
Transform
(FFT). This novel pricing method, which we dub the Convolution …
Persistent link: https://www.econbiz.de/10005836659
Saved in:
2
Accelerating the calibration of stochastic volatility models
Kilin, Fiodar
-
Volkswirtschaftliche Fakultät, …
-
2006
function: (1) Direct integration, (2)
Fast
Fourier
Transform
(FFT), (3) Fractional FFT. The most important application of this …
Persistent link: https://www.econbiz.de/10005621261
Saved in:
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