Calculation of Option Prices using Methods of Spectral Analysis

The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is reduced to solution of a problem of finding own values and own functions of a specific equation.

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Year of publication:	2013
Authors:	Vladimirovich, Burtnyak Ivan ; Malitskaya Anna P.
Published in:	Business Inform. - ISSN 2222-4459. - 2013, 4, p. 152-157
Subject:	stochastic volatility \| local volatility \| spectral theory \| singular wave theory \| regular wave theory

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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