Fabio Baschetti

affiliation not provided to SSRN

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The SINC way: A fast and accurate approach to Fourier pricing

Number of pages: 49 Posted: 20 Oct 2020 Last Revised: 19 May 2021
affiliation not provided to SSRN, University of Bologna - Department of Mathematics, University of Bologna - Department of Statistics and Prometeia
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Abstract:

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option pricing, rough Heston model, Fourier expansion, COS method, Fast Fourier methods