FFT network for interest rate derivatives with Lévy processes

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Department of Mathematics and Information Technology, Education University of Hong Kong, Tai Po, Hong Kong [1 ]
不详 [2 ]
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Jpn J. Ind. Appl. Math. | / 3卷 / 675-710期
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Compilation and indexing terms; Copyright 2024 Elsevier Inc;
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摘要：
Characteristic functions - Closed form solutions - Dependent variables - Efficient computation - Interest rates - Levy process - Numerical comparison - Term structure of interest rates
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