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Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
Pricing two-asset rainbow options with the fast Fourier transform
Levendis, Alexis
;
Mare, Eben
(
South African Statistical Association (SASA)
,
2023
)
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Author
Mare, Eben (2)
Levendis, Alexis (1)
Levendis, Alexis Jacques (1)
Subject
Fast Fourier transform (FFT) (2)
Characteristic function (1)
Discounted characteristic function (1)
Geometric Brownian motion (gBm) (1)
Rainbow option (1)
Spread option (1)
Stochastic interest rates (1)
Three-factor stochastic volatility (1)
Two-asset Heston–Hull–White model (1)
Two-factor geometric Brownian motion (1)
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