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Option pricing with the control variate technique beyond Monte Carlo simulation

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Modular pricing of options : an application of Fourier analysis

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Mathematical methods for the efficient assessment of market and credit risk

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Modular Pricing of Options : An Application of Fourier Analysis

Zhu, Jianwei - 2000

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...

Persistent link: https://www.econbiz.de/10013518580

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Hedging (co)variance risk with variance swaps

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Valuation of power options under Heston’s stochastic volatility model

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