Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models

By Eduardo Abi Jaber, Shaun (Xiaoyuan) Li, Xuyang Lin

Published 2024-05-06

Everscope rating

1819.4

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Fourier-Laplace transform analysis. Problem types: Option Pricing, Volatility Modeling, Model Calibration.

arXiv:2405.02170 · Code · Paper rankings

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