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Keywords: Fast Fourier Transform
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2007) 15 (2): 1–29.
Published: 30 November 2007
... inversion numerically. Specifically we use Variance Gamma process as an example of Levy option model and consider various characteristic function representation forms of European option price such as Carr and Madan (1999), Bakshi and Madan (2000). and Lewis (2001). Fast Fourier Transform method is applied...
