Search Results - subject:"inverse Fourier transform"

Sebehela, Tumellano - 2024

Persistent link: https://www.econbiz.de/10015046655

Sinh-acceleration for B-spline projection with option pricing applications

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z.; … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-50

Persistent link: https://www.econbiz.de/10012887408

Why cannot we have a strongly consistent family of skew normal (and higher order) distributions

Thongchai Dumrongpokaphan; Kreinovich, Vladik - In: Robustness in econometrics, (pp. 69-77). 2017

Persistent link: https://www.econbiz.de/10011800956

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Pitfalls of the fourier transform method in affine models, and remedies

Levendorskij, Sergej Z. - In: Applied mathematical finance 23 (2016) 1/2, pp. 81-134

Persistent link: https://www.econbiz.de/10011546994

Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-40

Persistent link: https://www.econbiz.de/10009756073

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001

EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS

BOYARCHENKO, SVETLANA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350011-1

We construct fast and accurate methods for (a) approximate Laplace inversion, (b) approximate calculation of the Wiener-Hopf factors for wide classes of Lévy processes with exponentially decaying Lévy densities, and (c) approximate pricing of lookback options. In all cases, we use appropriate...

Persistent link: https://www.econbiz.de/10010883211

Pricing bond options under a Markovian regime-switching Hull–White model

Shen, Yang; Siu, Tak Kuen - In: Economic Modelling 30 (2013) C, pp. 933-940

-state Markov chain. Using techniques of measure changes and the inverse Fourier transform, we obtain an integral representation for …

Persistent link: https://www.econbiz.de/10010608276

Two general models that generate long range correlation

Gan, Xiaocong; Han, Zhangang - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 12, pp. 3477-3483

Fourier transform) model, our conclusion is the low frequency part leads to LRC, while the high frequency part tends to …In this paper we study two models that generate sequences with LRC (long range correlation). For the IFT (inverse …

Persistent link: https://www.econbiz.de/10010588876