MODULAR PRICING OPTIONS: An Application of Fourier Analysis: v.493 (Lecture Notes in Economics and Mathematical Systems) - Softcover

Zhu, Jianwei

 
9783540679165: MODULAR PRICING OPTIONS: An Application of Fourier Analysis: v.493 (Lecture Notes in Economics and Mathematical Systems)
Softcover
ISBN 10: 3540679162 ISBN 13: 9783540679165
Verlag: Springer Verlag, 2000

Inhaltsangabe

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 different alternatives: constant, mean-reverting Ornstein-Uhlenbeck process, mean-reverting square root process and mean-reverting double square root process, while random jumps are specified as pure jumps, lognormal jumps and Pareto jumps. This framework called Modular Pricing of Options includes most of the existing options pricing formulas as special cases.

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Reseña del editor

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 different alternatives: constant, mean-reverting Ornstein-Uhlenbeck process, mean-reverting square root process and mean-reverting double square root process, while random jumps are specified as pure jumps, lognormal jumps and Pareto jumps. This framework called Modular Pricing of Options includes most of the existing options pricing formulas as special cases.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer Verlag
Erscheinungsdatum
2000
Sprache
Englisch
ISBN 10 
3540679162
ISBN 13 
9783540679165
Einband
Tapa blanda
Anzahl der Seiten
180
Kontakt zum Hersteller
Nicht verfügbar
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