Fast and explicit European option pricing under tempered stable processes
Updated
Updated · arxiv.org · Sep 4
Fast and explicit European option pricing under tempered stable processes
1 articles · Updated · arxiv.org · Sep 4
Summary
Researchers have developed fast and explicit series expansions for pricing European options under tempered stable processes.
Their analytical approach eliminates the need for delicate hyperparameter tuning found in traditional Fourier pricing methods, requiring only a truncation order.
The method proves highly efficient, especially for bilateral Gamma and one-sided tempered stable processes, and matches or outperforms state-of-the-art techniques in numerical tests.