This paper is concerned with the following question: if a characteristic function satisfies a certain property at the origin, what can be said about its behavior on ...
This is a preview. Log in through your library . Abstract The purpose of this paper is to show that the empirical characteristic function, when suitably normalised, converges weakly to a stationary ...
This paper shows how the recently developed fractional FFT algorithm (FRFT) can be used to retrieve option prices from the corresponding characteristic functions. The FRFT algorithm has the advantage ...
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