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MODULAR PRICING OPTIONS: An Application of Fourier Analysis: v.493 (Lecture Notes in Economics and Mathematical Systems) - Tapa blanda
Sinopsis
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.
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Imagen del vendedor
Modular pricing of options : an application of Fourier analysis. Lecture notes in economics and mathematical systems ; Vol. 493
Librería: books4less (Versandantiquariat Petra Gros GmbH & Co. KG), Welling, Alemania
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Broschiert. Condición: Gut. 170 S. Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempel.); Schnitt und Einband sind etwas staubschmutzig; Einbandkanten sind leicht bestoßen; der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. Text in ENGLISCHER Sprache! Sprache: Englisch Gewicht in Gramm: 280. Nº de ref. del artículo: 1597007
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