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Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems)

Jianwei Zhu

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ISBN 10: 3540679162 / ISBN 13: 9783540679165
Published by CreateSpace Independent Publishing Platform, 2000
Condition: Good Soft cover
From Books Express (Portsmouth, NH, U.S.A.)

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Title: Modular Pricing of Options: An Application ...

Publisher: CreateSpace Independent Publishing Platform

Publication Date: 2000

Binding: Paperback

Book Condition:Good

Edition: 1.

About this title


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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