| 書目名稱 | Modular Pricing of Options |
| 副標題 | An Application of Fo |
| 編輯 | Jianwei Zhu |
| 視頻video | http://file.papertrans.cn/638/637889/637889.mp4 |
| 概述 | Includes supplementary material: |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | 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. |
| 出版日期 | Book 20001st edition |
| 關鍵詞 | Finanzierungstheorie; Fourier analysis; Fourieranalyse; Option pricing; Optionspreise; Random jumps; Stoch |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-662-04309-7 |
| isbn_ebook | 978-3-662-04309-7Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2000 |
|Archiver|手機版|小黑屋|
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