PISTORIUS, MARTIJN; STOLTE, JOHANNES - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250031-1
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...