A Fourier Transform Method for Spread Option Pricing.

Thomas R. Hurd Zhuowei Zhou

Published in: SIAM J. Financial Math. (2010)

Keyphrases

fourier transform
frequency domain
computational complexity
probabilistic model
data mining
multiscale
pattern recognition
fourier domain
neural network
machine learning
feature extraction
similarity measure
objective function
signal processing
fourier analysis
option pricing