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Fourier space time-stepping, option pricing, Levy processes, multi-asset options
Multi asset commodity derivatives, Option pricing, Mean reverting Levy processes, Fourier transform based method
Option pricing, Levy processes, partial integro-differential equation, Fourier transform
Option pricing, interest-rate derivatives, affine models, fourier space time-stepping, accrual swaps, range notes
Option pricing, Levy processes, Fourier Space Time-stepping, Fast Fourier Transform, Graphics Processing Unit, parallel computing
Option pricing, Levy processes, regime switching, Fourier methods, American options, catastrophe options
Option Greeks, jump-diffusion models, static hedging