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Modular Pricing of Options: An Application of Fourier Analysis: v.493 - Brossura

Zhu, Jianwei

 
9783540679165: Modular Pricing of Options: An Application of Fourier Analysis: v.493
Brossura
ISBN 10: 3540679162 ISBN 13: 9783540679165
Casa editrice: Springer Verlag, 2000

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Contenuti

Introduction.- Purposes of this Book; Constructing Characteristic Functions; Economic Interpretation of CFs; Examination of Existing Option Models; Equivalence of CFs to PDEs; Modular Pricing of Options.- Stochastic Factors as Modules; Stochastic Volatilities; Stochastic Interest Rates; Random Jumps; Integrating the Modules; Appendices; Extensions of MPO to Exotic Options.- Barrier Options; Lookback Options; Asian Options; Correlation Options; Other Exotic Options; Appendices; Conclusions

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Verlag
Data di pubblicazione
2000
Lingua
Inglese
ISBN 10 
3540679162
ISBN 13 
9783540679165
Rilegatura
Copertina flessibile
Numero edizione
1
Numero di pagine
170
Contatto del produttore
non disponibile
Persona responsabile
non disponibile