FFT Based Option Pricing
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-011.
Length: 20 pages
Date of creation: Mar 2005
Date of revision:
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006.
"GHICA - Risk Analysis with GH Distributions and Independent Components,"
SFB 649 Discussion Papers
SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.
- Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, Reading University, revised Jun 2009.
- A. S. Hurn & K. A. Lindsay & A. J. Mcclelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
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