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Fourier option pricing
Fourier option pricing
Pairings in the atlas
Carr-Madan FFT
specialist
Characteristic-function pricing
quantitative-finance
Rivals: other methods for the same problems
Binomial options pricing
Bjerksund-Stensland
Black-Scholes
COS method
Finite difference pricing
Heston model
Longstaff-Schwartz
Monte Carlo option pricing
Trinomial tree pricing
Where it sits
quantitative-finance
·
Optimization & Operations Research