Matches in SemOpenAlex for { <https://semopenalex.org/work/W1756240882> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W1756240882 abstract "We incorporate a simple and effective control-variate into Fourier inversion formulas for vanilla option prices. The control-variate used in this paper is the Black-Scholes formula whose volatility parameter is determined in a generic non-arbitrary fashion. We analyze contour dependence both in terms of value and speed of convergence. We use Gaussian quadrature rules to invert Fourier integrals, and numerical results suggest that performing the contour integration along the real axis leads to the best pricing performance." @default.
- W1756240882 created "2016-06-24" @default.
- W1756240882 creator A5007179733 @default.
- W1756240882 creator A5077547409 @default.
- W1756240882 date "2011-01-01" @default.
- W1756240882 modified "2023-09-23" @default.
- W1756240882 title "Fourier Transforms, Option Pricing and Controls" @default.
- W1756240882 cites W1480459000 @default.
- W1756240882 cites W2036835272 @default.
- W1756240882 cites W2064978316 @default.
- W1756240882 cites W2077791698 @default.
- W1756240882 cites W2094206697 @default.
- W1756240882 cites W2100190417 @default.
- W1756240882 cites W2116919581 @default.
- W1756240882 cites W2122959466 @default.
- W1756240882 cites W2168734810 @default.
- W1756240882 cites W2170589820 @default.
- W1756240882 cites W2465624924 @default.
- W1756240882 cites W3123687478 @default.
- W1756240882 doi "https://doi.org/10.2139/ssrn.1941464" @default.
- W1756240882 hasPublicationYear "2011" @default.
- W1756240882 type Work @default.
- W1756240882 sameAs 1756240882 @default.
- W1756240882 citedByCount "3" @default.
- W1756240882 countsByYear W17562408822014 @default.
- W1756240882 countsByYear W17562408822015 @default.
- W1756240882 countsByYear W17562408822021 @default.
- W1756240882 crossrefType "journal-article" @default.
- W1756240882 hasAuthorship W1756240882A5007179733 @default.
- W1756240882 hasAuthorship W1756240882A5077547409 @default.
- W1756240882 hasConcept C102519508 @default.
- W1756240882 hasConcept C106159729 @default.
- W1756240882 hasConcept C134306372 @default.
- W1756240882 hasConcept C149782125 @default.
- W1756240882 hasConcept C162324750 @default.
- W1756240882 hasConcept C166386157 @default.
- W1756240882 hasConcept C194483076 @default.
- W1756240882 hasConcept C203024314 @default.
- W1756240882 hasConcept C33923547 @default.
- W1756240882 hasConcept C41008148 @default.
- W1756240882 hasConcept C57733114 @default.
- W1756240882 hasConceptScore W1756240882C102519508 @default.
- W1756240882 hasConceptScore W1756240882C106159729 @default.
- W1756240882 hasConceptScore W1756240882C134306372 @default.
- W1756240882 hasConceptScore W1756240882C149782125 @default.
- W1756240882 hasConceptScore W1756240882C162324750 @default.
- W1756240882 hasConceptScore W1756240882C166386157 @default.
- W1756240882 hasConceptScore W1756240882C194483076 @default.
- W1756240882 hasConceptScore W1756240882C203024314 @default.
- W1756240882 hasConceptScore W1756240882C33923547 @default.
- W1756240882 hasConceptScore W1756240882C41008148 @default.
- W1756240882 hasConceptScore W1756240882C57733114 @default.
- W1756240882 hasLocation W17562408821 @default.
- W1756240882 hasOpenAccess W1756240882 @default.
- W1756240882 hasPrimaryLocation W17562408821 @default.
- W1756240882 hasRelatedWork W1502790641 @default.
- W1756240882 hasRelatedWork W1971280405 @default.
- W1756240882 hasRelatedWork W1991094733 @default.
- W1756240882 hasRelatedWork W2148177455 @default.
- W1756240882 hasRelatedWork W2358889583 @default.
- W1756240882 hasRelatedWork W2786110115 @default.
- W1756240882 hasRelatedWork W3121196594 @default.
- W1756240882 hasRelatedWork W33094640 @default.
- W1756240882 hasRelatedWork W4295678671 @default.
- W1756240882 hasRelatedWork W4353087863 @default.
- W1756240882 isParatext "false" @default.
- W1756240882 isRetracted "false" @default.
- W1756240882 magId "1756240882" @default.
- W1756240882 workType "article" @default.