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Multivariate option pricing models with Lévy and Sato VG marginal processes

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Relief inventory modelling with stochastic lead-time and demand

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Non-homogeneous time convolutions, renewal processes and age-dependent mean number of motorcar accidents

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Modular pricing of options : an application of Fourier analysis

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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