Search Results - subject:"option pricing with FFT"

Janek, Agnieszka; Kluge, Tino; Weron, Rafal; Wystup, Uwe - Hugo Steinhaus Center for Stochastic Methods, … - 2010

-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study …

Persistent link: https://www.econbiz.de/10009323911

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study …

Persistent link: https://www.econbiz.de/10010281507

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study …

Persistent link: https://www.econbiz.de/10008677946

Janek, Agnieszka; Kluge, Tino; Weron, Rafal; Wystup, Uwe - Volkswirtschaftliche Fakultät, … - 2010

-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study …

Persistent link: https://www.econbiz.de/10008678292