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Persistent link: https://www.econbiz.de/10009624458
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the...
Persistent link: https://www.econbiz.de/10010552940