Applications of Fourier transform to smile modeling. Theory and implementation.

DOI10.1007/978-3-642-01808-4zbMath1182.91010MaRDI QIDQ1022284

Jianwei Zhu

Publication date: 10 June 2009

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-01808-4

zbMATH Keywords

option pricing; volatility smile; Lévy jumps; Poisson jumps; stochastic volatility models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

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