Option Pricing with Fourier Transform and Exponential Lévy Models [pdf]

Re:Option Pricing with Fourier Transform and Exponential Lév... by llamaz on Friday October 26, 2018 @10:53PM (#18314115)

I'm not sure whose voting up such a technical paper. I could understand if the subject was control theory or robotics, but economics with engineering-level math seems out of most of our purviews.

I'm not complaining - I'm happy to see more math on HN. I'm just wondering about HN's demographics.

[ Parent | on HN ]

Re:Option Pricing with Fourier Transform and Exponential Lév... by pas on Saturday October 27, 2018 @01:53AM (#18314539)

Folks interested in this, but finding it too long, so waiting for someone to summarize/explain maybe :)

[ Parent | on HN ]

Re:Option Pricing with Fourier Transform and Exponential Lév... by osrec on Saturday October 27, 2018 @01:24AM (#18314479)

There are a lot of engineers here who would have ended up in finance (possibly as quants), myself included. This sort of thing is right up our street.

[ Parent | on HN ]

Re:Option Pricing with Fourier Transform and Exponential Lév... by skolos on Friday October 26, 2018 @11:46PM (#18314248)

Especially since the result is not new (it was written in 2004). Even though the topic is within my interests I'm confused that this is on the front page of HN.

[ Parent | on HN ]

Re:Option Pricing with Fourier Transform and Exponential Lév... by yold__ on Saturday October 27, 2018 @01:39AM (#18314515)

I guess it's interesting to see an alternative to Black Scholes. Fourier transform (FFT) is a common topic in advanced algos.

[ Parent | on HN ]