BOYARCHENKO, NINA; LEVENDORSKIǏ, SERGEI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 273-306
We analyze and compare the performance of the Fourier transform method in affine and quadratic term structure models. We explain why the method of the reduction to FFT in dimension 1 is efficient for ATSMs of type A0(n), but may lead to sizable errors for QTSMs unless computational errors are...