Work

Option valuation using the fast Fourier transform

Year: 1999

Type: article

Source: The Journal of Computational Finance

DOI: 10.21314/jcf.1999.043

Authors: Peter Carr, Dilip Madan

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1480459000

FWCI: 19.54

Cites: 12

Cited by: 2,107

Related to: 10