Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems, 493, Band 493) - Softcover

Zhu, Jianwei

Softcover

ISBN 10: 3540679162 ISBN 13: 9783540679165

Verlag: Springer, 2000

Inhaltsangabe

From a technical point of view, the celebrated Black and Scholes option pricing formula was originally developed using a separation of variables technique. However, already Merton mentioned in his seminal 1973 pa­ per, that it could have been developed by using Fourier transforms as well. Indeed, as is well known nowadays, Fourier transforms are a rather convenient solution technique for many models involving the fundamental partial differential equation of financial economics. It took the community nearly another twenty years to recognize that Fourier transform is even more useful, if one applies it to problems in financial economics without seeking an explicit analytical inverse trans­ form. Heston (1993) probably was the first to demonstrate how to solve a stochastic volatility option pricing model quasi analytically using the characteristic function of the problem, which is nothing else than the Fourier transform of the underlying Arrow /Debreu-prices, and doing the inverse transformation numerically. This opened the door for a whole bunch of new closed form solutions in the transformed Fourier space and still is one of the most active research areas in financial economics.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2000
• Sprache: Englisch
• ISBN 10: 3540679162
• ISBN 13: 9783540679165
• Einband: Taschenbuch
• Auflage: 1
• Anzahl der Seiten: 184
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Deutschland