Fourier inversion formulas in option pricing and insurance
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Publication:835682
DOI10.1007/s11009-007-9049-zzbMath1170.91410OpenAlexW2170589820MaRDI QIDQ835682
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/34326
Related Items (14)
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility ⋮ A comprehensive mathematical approach to exotic option pricing ⋮ Dependent defaults and losses with factor copula models ⋮ Fourier inversion formulas for multiple-asset option pricing ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR ⋮ Lewis model revisited: option pricing with Lévy processes ⋮ Analysis of Fourier Transform Valuation Formulas and Applications ⋮ Securitization of motor insurance loss rate risks ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ Efficient Options Pricing Using the Fast Fourier Transform ⋮ Lookback option pricing using the Fourier transform B-spline method ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
Cites Work
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Risk processes perturbed by α-stable Lévy motion
- On a new approach to calculating expectations for option pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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