The generalised Fourier B-spline methodology and applications of the generalised Fourier transform
This thesis develops a new efficient and robust approximation framework, the Generalised Fourier B-spline (GFBS) method, for option pricing in the setting of continuous-time asset models from the family of exponen- tial semi martingale processes. The GFBS method introduces B-spline in- terpolation t...
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City University London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.586912 |