Questions tagged [gatheral]

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Option Price keeps decreasing as the time-steps increase

I have been writing a code in Python, trying to find a European Benchmark of the Gatheral Double-Mean Reverting model (since there is no available benchmark values online), using the Euler scheme. For ...
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Gatheral pseudo-probabilities inverse Fourier transform

Im having some trouble with the discussion about the pseudo-probabilities in Gatheral's book. In chapter 2, it reads Taking the inverse transform using equation (2.8) and performing the complex ...
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