Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification

By Mukarram Attari. 2004

50 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2e1e3b704762b029f8822bf09e7534e3f82cada1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Fan Zhang
2. Lixin Wu
3. Fabio Mercurio

Citations in the corpus

• Maximum Likelihood Estimation of Latent Affine Processes (2006, unknown): “Carr and Madan (2000), LewisΦ (2001) and Attari (2004) have independently derived similar formulas by alternate methods.”
• LIBOR market model with stochastic volatility (2006, background): “According to Attari [7], the simplified equation has the benefit in terms of computational time.”