Applications of Fourier transform to smile modeling. Theory and implementation.
From MaRDI portal
Publication:1022284
DOI10.1007/978-3-642-01808-4zbMath1182.91010MaRDI QIDQ1022284
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
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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