Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
By Eduardo Abi Jaber, Shaun (Xiaoyuan) Li, Xuyang Lin
Rating
1735
Battle Count: 136
Relevance
9/10
Highly relevant for option pricing, volatility modeling, and model calibration in quantitative trading
Implementation Complexity
7/10
Requires advanced mathematical understanding and implementation of complex numerical schemes
Reproducibility
4/5
Detailed mathematical derivations and numerical schemes provided, with a Python notebook implementation available
About this paper
Methodology: Fourier-Laplace transform analysis. Problem types: Option Pricing, Volatility Modeling, Model Calibration.
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