Application of power series approximation techniques to valuation of European style options

Autor:	Jonathan Ziveyi, Nikolay Gudkov
Rok vydání:	2020
Předmět:	Power series Mathematical optimization 050208 finance Stochastic volatility Computer science 05 social sciences TheoryofComputation_GENERAL symbols.namesake Fourier transform 0502 economics and business symbols 050207 economics General Economics Econometrics and Finance Finance Valuation (finance)
Zdroj:	Quantitative Finance. 21:609-635
ISSN:	1469-7696 1469-7688
DOI:	10.1080/14697688.2020.1809696
Popis:	Fourier transforms provide versatile techniques for pricing financial derivative securities. In applying such techniques, a typical derivative valuation expression is often written as an inner prod...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::05cbeb3c2e7b6c0709b1958e4e1ceeb3 https://doi.org/10.1080/14697688.2020.1809696 Zobrazit plný text záznamu