Modular Pricing of Options : An Application of Fourier Analysis /

This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, stochastic interest rate and random jump. The modeling of volatility and interest rate falls into four...

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Bibliographic Details

Main Author:	Zhu, Jianwei
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 2000.
Series:	Lecture notes in economics and mathematical systems ; 493.
Subjects:	Economics. Finance. Electronic books.
Online Access:	Connect to the full text of this electronic book