Harmonic analysis occupies a central position in modern mathematical analysis by providing the tools to express complex functions as superpositions of simpler sinusoidal components via the Fourier ...
In this paper, we clarify the relationships among popular methods for pricing European options based on the Fourier expansion of the payoff function (iFT method) and the simlified trapezoid rule.We ...
In this paper, we clarify the relationships among popular methods for pricing European options based on the Fourier expansion of the payoff function (iFT method) and the simlified trapezoid rule.We ...
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