Essays about: "Benjamin Kraska"
Found 1 essay containing the words Benjamin Kraska.
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1. A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing
University essay from Lunds universitet/Matematisk statistikAbstract : We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products. READ MORE
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