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Modular Pricing of Options : An Application of Fourier Analysis /

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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
Table of Contents:
  • Introduction
  • Modular Pricing of Options
  • Extensions of MPO to Exotic Options
  • Conclusions.