Modular pricing of options. An application of Fourier analysis
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Publication:1582802
zbMath0954.91026MaRDI QIDQ1582802
Publication date: 16 October 2000
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Harmonic analysis in one variable (42A99)
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COMPLEX LOGARITHMS IN HESTON-LIKE MODELS ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
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