Open Access
Basket Option Pricing on Sparse Grids Using Fast Fourier Transforms
Silvan Villiger,Christoph Schwab +1 more
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The article was published on 2007-01-01 and is currently open access. It has received 2 citations till now. The article focuses on the topics: Basket option & Sparse grid.read more
Citations
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Book ChapterDOI
Computation of Copulas by Fourier Methods
TL;DR: An integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions is provided, which can be used for a large class of models from mathematical finance, including L\'evy and affine processes.
Journal ArticleDOI
FFT-network for bivariate Lévy option pricing
TL;DR: A two-dimensional fast Fourier transform (FFT) network to retrieve the prices of options that depend on two Lévy processes to investigate option pricing on a single asset where the asset return and its volatility are driven by a pair of dependent LÉvy processes.
References
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Journal ArticleDOI
The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book
Design Patterns: Elements of Reusable Object-Oriented Software
TL;DR: The book is an introduction to the idea of design patterns in software engineering, and a catalog of twenty-three common patterns, which most experienced OOP designers will find out they've known about patterns all along.
BookDOI
Financial modelling with jump processes
Rama Cont,Peter Tankov +1 more
TL;DR: In this article, the authors provide a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists.
Journal ArticleDOI