Modular pricing of options. An application of Fourier analysis

MaRDI QIDQ1582802zbMATH OpenFDO

Authors Jianwei Zhu

Publication date 16 October 2000

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

jumpsoption pricingstochastic volatilityFourier analysisinterest rateexotic options

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Harmonic analysis in one variable (42A99)

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Cited in

(6)

• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• Complex logarithms in Heston-like models
• Applications of Fourier transform to smile modeling. Theory and implementation.
• An explicitly solvable Heston model with stochastic interest rate
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps

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