Fast fourier transform for option pricing: improved mathematical modeling and design of an efficient parallel algorithm
The Fast Fourier Transform (FFT) has been used in many scientific and engineering applications. The use of FFT for financial derivatives has been gaining momentum in the recent past. In this thesis, i) we have improved a recently proposed model of FFT for pricing financial derivatives to help design...
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| Language: | en_US |
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2005
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| Online Access: | http://hdl.handle.net/1993/120 |