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Kahl, Ch.
( Ch. Kahl)
model function heston model option heston volatility rotation count algorithm price formulation algorithm proof discontinuitie value logarithm parameter section approximation problem branch integration lemma paper equation error affine volatility model option prices variance saddlepoint pricing argument moment sch bel-zhu model option price count integral rotation process volatility models option pricing power condition scheme asset number fourier inversion saddlepoint approximations method fourier integrand solution theorem power function formulation 2 choice vt st dws andersen range inequality saddlepoint approximation variance gamma model power series institute sch-zhu model representation figure black-schole gamma moment stability maturity simulation algorithm simulation 2 2 inversion finance black-scholes model e iu ln 1 i 2 closed-form | g |
2 Most Recent Publications
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Optimal Fourier Inversion in Semi-analytical Option Pricing
(Research Paper)
Lord, R. Kahl, Ch. |
2006-07-18
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Why the Rotation Count Algorithm Works
(Research Paper)
Lord, R. Kahl, Ch. |
2006-07-17
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