5 ms·
I've rarely used FT methods in the real world (one reason being the wrap-around boundary conditions), and not really followed them. And, not sure whether that p
by FabHK 8y ago
I've rarely used FT methods in the real world (one reason being the wrap-around boundary conditions), and not really followed them. And, not sure whether that paper reflects the current state of the art.
- tanderson92 8y agoFT methods are different from Fourier-spectral methods which typically have periodic BC requirements. That was not what my question was about. The method in the paper exactly represents the solution as a Fourier-type integral which must be computed numerically. The error in the quadrature rule is the sole source of pricing error. I guess whether the extra computational cost in computing those integrals exactly with the method the author used would carry a corresponding financial cost.