This paper is concerned with the following question: if a characteristic function satisfies a certain property at the origin, what can be said about its behavior on ...
During the Oxford Conference of the Econometric Society in 1936, Ragnar Frisch proposed a problem of characterization of distributions based on the property of linear regression of one linear function ...
The usual local central limit theorem provides an approximation for the probability for an iid sequence . The approximation is proportional to the lattice size of the underlying distribution of the ...
This paper shows how the recently developed fractional FFT algorithm (FRFT) can be used to retrieve option prices from the corresponding characteristic functions. The FRFT algorithm has the advantage ...
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