Search Results - subject:"Fast Fourier Transform"

A transform-based method for pricing Asian options under general two-dimensional models

Zhang, Weinan; Zeng, Pingping - In: Quantitative finance 23 (2023) 11, pp. 1677-1697

Persistent link: https://www.econbiz.de/10014419186

A fast Monte Carlo scheme for additive processes and option pricing

Azzone, Michele; Baviera, Roberto - In: Computational management science 20 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014393374

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Alfeus, Mesias; Collins, James - In: Financial innovation : FIN 9 (2023) 1, pp. 1-19

pricing spread options of three assets under the stochastic volatility model. We derive a three-dimensional Fast Fourier … Transform ("FFT") lower bound approximation to value the inherent real optionality and for robustness check, we compare the semi …

Persistent link: https://www.econbiz.de/10014289024

A fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32

computed using Fourier analysis and the fast Fourier transform (FFT) algorithm. The method is then extended to higher …

Persistent link: https://www.econbiz.de/10014332588

A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-32

computed using Fourier analysis and the fast Fourier transform (FFT) algorithm. The method is then extended to higher …

Persistent link: https://www.econbiz.de/10013397739

Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10013201039

Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19

Persistent link: https://www.econbiz.de/10012626539

Estimating the volatility of non-life premium risk under Solvency II: Discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks 8 (2020) 3, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10013200607

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

Persistent link: https://www.econbiz.de/10012293140

To infinity and beyond : efficient computation of ARCH(∞) models

Nielsen, Morten Ørregaard; Noël, Antoine L. - 2020

Persistent link: https://www.econbiz.de/10012318239

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