Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
- Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017. "The Chebyshev method for the implied volatility," Papers 1710.01797, arXiv.org.
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